Value Versus Growth: Time-Varying Expected Stock Returns
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 | https://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 |
Files in this item
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.