The Value Premium and Time-Varying Volatility

@article{Li2009TheVP,
  title={The Value Premium and Time-Varying Volatility},
  author={Xiafei Li and Chris Brooks and J. Miffre},
  journal={Wiley-Blackwell: Journal of Business Finance & Accounting},
  year={2009}
}
  • Xiafei Li, Chris Brooks, J. Miffre
  • Published 2009
  • Economics
  • Wiley-Blackwell: Journal of Business Finance & Accounting
  • Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks… CONTINUE READING

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