Value Versus Growth: Time-Varying Expected Stock Returns

Show simple item record

dc.contributor.author Zhang, Lu
dc.contributor Gulen, Huseyin
dc.contributor Xing, Yuhang
dc.date.accessioned 2008-10-07T17:14:23Z
dc.date.available 2008-10-07T17:14:23Z
dc.date.issued 2008-09
dc.identifier 1115 en
dc.identifier.uri http://hdl.handle.net/2027.42/61152
dc.description.abstract Using the Markov switching framework of Perez-Quiros and Timmermann (2000), we show that the expected value-minus-growth returns display strong countercyclical variations. Under a variety of flexibility proxies such as the ratio of fixed assets to total assets, the frequency of disinvestment, financial leverage, and operating leverage, we show that value firms are less flexible in adjusting to worsening economic conditions than growth firms, and that inflexibility increases the costs of equity in the cross section. The time-variation in the expected value premium highlights the importance of conditioning information in understanding the cross section of average returns. en
dc.format.extent 438201 bytes
dc.format.mimetype application/pdf
dc.subject Value stocks en
dc.subject growth stocks en
dc.subject regime switching en
dc.subject time-varying expected returns en
dc.subject real flexibility en
dc.subject.classification Finance en
dc.title Value Versus Growth: Time-Varying Expected Stock Returns en
dc.type Working Paper en_US
dc.subject.hlbsecondlevel Economics en_US
dc.subject.hlbtoplevel Business en_US
dc.contributor.affiliationum Ross School of Business en
dc.contributor.affiliationumcampus Ann Arbor
dc.description.bitstreamurl http://deepblue.lib.umich.edu/bitstream/2027.42/61152/1/1115_Zhang.pdf
dc.owningcollname Business, Stephen M. Ross School of - Working Papers Series
 Show simple item record

This item appears in the following Collection(s)


Search Deep Blue

Advanced Search

Browse by

My Account

Information

Available Now


MLibrary logo