The value spread as a predictor of returns
By: Naiping Lu, Lu Zhang.
Contributors: Zhang, Lu, 1972-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11326; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11326.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Rate of return -- Mathematical models.
Description: "Recent studies have used the value spread to predict aggregate stock returns to construct cash-flow betas that appear to explain the size and value anomalies.  We show that two related variables, the book-to-market spread (the book-to-market of value stocks minus that of growth stocks) and the market-to-book spread (the market-to-book of growth stocks minus that of value stocks) predict returns in different directions and exhibit opposite cyclical variations.  Most important, the value spread mixes information on the book-to-market and market-to-book spreads, and appears much less useful in predicting returns"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.