Value versus growth
Subtitle: time-varying expected stock returns
By: Huseyin Gulen, Yuhang Xing, Lu Zhang
Contributors: Xing, Yuhang; Zhang, Lu; National Bureau of Economic Research
Series: NBER working paper series -- working paper 15993; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15993.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] :
Description: "Is the value premium predictable? We study time-variations of the expected value premium using a two-state Markov switching model.  We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the expected excess returns of growth stocks.  As a result, the expected value premium is time-varying: it spikes upward in the high-volatility state, only to decline more gradually in the ensuring periods.  However, out-of-sample predictability of the value premium is close to nonexistent"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/20/2010.

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