The fundamental-to-market ratio and the value premium decline

被引：7
|
作者：
Goncalves, Andrei S. [1 ]
Leonard, Gregory [2 ]
机构：
[1] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
[2] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2023年 / 147卷 / 02期
关键词：
Value premium; Book-to-market; Value signals; The cross-section of expected returns; INVESTMENT; RETURNS; YIELD; RISK; ANOMALIES; EARNINGS; STOCKS;
D O I：
10.1016/j.jfineco.2022.11.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Recent evidence indicates the value premium declined over time. We argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, F E, defined as the present value of cash flows under a common discount rate across firms. Specifically, we estimate F E for public US firms over time and find that the premium asso-ciated with the fundamental-to-market ratio, F E /ME , subsumes the BE /ME premium and has been relatively stable while the cross-sectional correlation between F E /ME and BE /ME decreased over time, inducing an apparent decline in the value premium. We also show that F E /ME captures the value premium better than several alternative value signals be-yond BE /ME .(c) 2022 Elsevier B.V. All rights reserved.
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页码：382 / 405
页数：24
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