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https://doi.org/10.1016/j.finmar.2011.08.004
Title: | Do expected business conditions explain the value premium? |
Authors: | Fong, W.M. |
Keywords: | Asset pricing Business risk GDP forecasts Predictive regressions Value premium |
Issue Date: | 2012 |
Source: | Fong, W.M. (2012). Do expected business conditions explain the value premium?. Journal of Financial Markets 15 (2) : 181-206. ScholarBank@NUS Repository. https://doi.org/10.1016/j.finmar.2011.08.004 |
Abstract: | This study employs a new data set to re-examine the book-to-market effect. In contrast to past studies, a direct measure of expected business conditions is used to test whether the value premium is compatible with a risk-based explanation. The measure of expected business conditions is based on the Livingston survey of real GDP growth forecasts, and spans half a century. These forecasts are used to perform a comprehensive set of conditional (time series) and unconditional (cross-sectional) tests of the risk-based hypothesis. None of the tests provide firm evidence that the value premium can be explained by business risk. Evidence against the risk-based explanation is strongest for small firms. © 2011 Elsevier B.V. |
Source Title: | Journal of Financial Markets |
URI: | http://scholarbank.nus.edu.sg/handle/10635/44430 |
ISSN: | 13864181 |
DOI: | 10.1016/j.finmar.2011.08.004 |
Appears in Collections: | Staff Publications |
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