6～9的回归中,结合了Value Spread与Growth Spread,其中Growth Spread都显示为与价值策略回报率呈负相关关系,与美股市场上的特征一致。在解释能力方面,S/P Spread结合Growth Spread的效果最好,与单独进行Value Spread时的结果类似,但是加入了Growth Spread之后,提升了些许的效果,尽管在该回归中Growth Spread的显著性并不...
E(R)=E/P+g At the time of this writing (November 1999), our model is forecasting near-historic highs for the expected return of value versus growth. Value spreads are near historic highs, and the level of these spreads cannot be explained by high expectedearningsgrowth spreads. In fact, ...
and Yu, F. (2015) `Value versus growth investing: why do different investors have different styles?', Journal of Financial Economics, Vol. 117, No. 2, pp.333- 349.Cronqvist, H., Siegel, S., Yu, F., 2015. Value versus growth investing: Why do different investors have different ...
valueversusgrowth 系统标签: valuegrowthversuspremiumregressionsexpected ValueversusGrowth:Time-Varying ExpectedStockReturns HuseyinGulen,YuhangXing,andLuZhang ∗ Isthevaluepremiumpredictable?Westudytimevariationsoftheexpectedvaluepremiumusing atwo-stateMarkovswitchingmodel.Wefindthatwhenconditionalvolatilitiesarehigh,...
We find that several factors explain an individual investor's style, i.e., the value versus growth orientation of the investor's stock portfolio. First, we find that an investor's style has a biological basis and is partially ingrained in an investor from birth. Second, we show that an ...
Value Versus Growth — II Posted on 29 October 2011 by David Merkel One of my readers posted the following comment, and I felt it was worth following up: I continue to struggle with the Growth vs Value designation (never mind where to invest). According to Buffet’s letter, they are ...
Value Versus Growth Investing: The Bernstein Uncertainty Index.Value Versus Growth Investing: The Bernstein Uncertainty Index.The article features the Bernstein Uncertainty Index. The Uncertainty Index is based on the assumption that investors are most likely to be successful in contrarian or value strate...
Value versus growth investing: Why do different investors have different styles? We find that several factors explain an individual investors style, i.e., the value versus growth orientation of the investors stock portfolio. First, we f... H Cronqvist,S Siegel,F Yu - 《Journal of Financial ...
Value versus glamour investing : a South African case Evidence from international and local studies indicates that the value investment style consistently earns returns above those of the growth investment style. The same principle seems to apply, in an international context, when using the... JV ...
Value versus Growth The International Evidence外文翻译.pdf,American Finance Association Value versus Growth: The International Evidence Author(s): Eugene F. Fama and Kenneth R. French Source: The Journal of Finance, Vol. 53, No. 6 (Dec., 1998), pp. 1975-