Is the value spread a useful predictor of returns ?

@inproceedings{Liua2008IsTV,
  title={Is the value spread a useful predictor of returns ?},
  author={Naiping Liua and Lu Zhangb},
  year={2008}
}
  • Naiping Liua, Lu Zhangb
  • Published 2008
No. Two related variables, the book-to-market spread (the book-to-market of value stocks minus the book-to-market of growth stocks), and the market-to-book spread (the market-to-book of growth stocks minus the market-to-book of value stocks) predict returns but with opposite signs. The value spread mixes the cyclical variations of the book-to-market and market-to-book spreads, and appears much less useful in predicting returns. Our evidence casts doubt on Campbell and Vuolteenaho [2004. Bad… CONTINUE READING
5 Citations
31 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 31 references

Predictable stock returns: the role of small sample bias

  • C. R. Nelson, M. J. Kim
  • Financial Studies
  • 1990
Highly Influential
6 Excerpts

Stock returns and the term structure

  • J. Y. Campbell
  • Journal of Financial Economics
  • 1987
Highly Influential
6 Excerpts

A comprehensive look at the empirical performance of equity premium prediction

  • A. Goyal, I. Welch
  • 2005
1 Excerpt

Investments: Equity Risk Premium

  • R. Amsterdam. Bansal, R. F. Dittmar, C. T. Lundblad
  • 2005
2 Excerpts

Bad beta , good beta

  • L. Chen, X. Zhao
  • American Economic Review
  • 2004

Consumption strike back? University of Chicago, working paper

  • L. P. Hansen, J. C. Heaton, N. Li
  • Review of Financial Studies,
  • 2004
1 Excerpt

Predicting returns with financial ratios

  • A. C. MacKinlay
  • Journal of Financial Economics
  • 2004

Similar Papers

Loading similar papers…