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- catalog abstract "We decompose the cross-sectional variance of firms' book-to-market ratios using both a long U.S. panel and a shorter international panel. In contrast to typical aggregate time-series results, transitory cross-sectional variation in expected 15-year stock returns causes only a relatively small fraction (20%) of the total cross-sectional variance. The remaining dispersion can be explained by expected 15-year profitability and persistence of valuation levels. Furthermore, this fraction appears stable across time and across types of stocks. We also show that the expected return on value-minus-growth strategies is atypically high at times when the valuespread (the difference between the book-to-market ratio of a typical value stock and a typical growth stock) is wide.".
- catalog contributor b12159645.
- catalog contributor b12159646.
- catalog contributor b12159647.
- catalog contributor b12159648.
- catalog created "c2001.".
- catalog date "2001".
- catalog date "c2001.".
- catalog dateCopyrighted "c2001.".
- catalog description "Includes bibliographical references.".
- catalog description "We decompose the cross-sectional variance of firms' book-to-market ratios using both a long U.S. panel and a shorter international panel. In contrast to typical aggregate time-series results, transitory cross-sectional variation in expected 15-year stock returns causes only a relatively small fraction (20%) of the total cross-sectional variance. The remaining dispersion can be explained by expected 15-year profitability and persistence of valuation levels. Furthermore, this fraction appears stable across time and across types of stocks. We also show that the expected return on value-minus-growth strategies is atypically high at times when the valuespread (the difference between the book-to-market ratio of a typical value stock and a typical growth stock) is wide.".
- catalog extent "24 p. :".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 01-084.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 01-084".
- catalog issued "2001".
- catalog issued "c2001.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog spatial "United States.".
- catalog subject "Corporations Valuation United States.".
- catalog subject "Stocks price forecasting United States.".
- catalog title "The value spread / Randolph B. Cohen, Christopher Polk, and Tuomo Vuolteenaho.".
- catalog type "text".