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Is the Value Spread a Useful Predictor of Returns?

dc.contributor.authorZhang, Lu
dc.contributorLu, Naiping
dc.date.accessioned2006-10-12T19:33:25Z
dc.date.available2006-10-12T19:33:25Z
dc.date.issued2006-09
dc.identifier1051en
dc.identifier.urihttps://hdl.handle.net/2027.42/48729
dc.description.abstractNo. 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 appear much less useful in predicting returns. Our evidence casts doubt on recent studies that rely critically on using the value spread to predict aggregate stock returns.en
dc.format.extent284451 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.subjectThe Value Spreaden
dc.subjectPredictabilityen
dc.subjectBusiness Cyclesen
dc.subject.classificationFinanceen
dc.titleIs the Value Spread a Useful Predictor of Returns?en
dc.typeWorking Paperen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.contributor.affiliationumRoss School of Businessen
dc.contributor.affiliationotherUniversity of Pennsylvania - Statistics Departmenten
dc.contributor.affiliationumcampusAnn Arbor
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/48729/1/1051-Lu.pdfen_US
dc.owningcollnameBusiness, Stephen M. Ross School of - Working Papers Series


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