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- W4321350238 endingPage "106812" @default.
- W4321350238 startingPage "106812" @default.
- W4321350238 abstract "We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the seemingly missing value premium over past decades, and generate significant returns after adjusting for common factors. The value-price-divergence (VPD) factor constructed from the average returns of these portfolios within small and big stocks is not spanned by these known factors. Max Sharpe ratio and constrained R-squared tests reveal that VPD is a better substitute for the traditional value factor and that a four-factor model using the VPD, market, momentum, and size factors outperforms most extant benchmarks in explaining the cross-section of expected equity returns, including value-to-price portfolios as test assets. The findings remain robust under alternative specifications of equity cost of capital." @default.
- W4321350238 created "2023-02-20" @default.
- W4321350238 creator A5016587713 @default.
- W4321350238 creator A5043347603 @default.
- W4321350238 date "2023-04-01" @default.
- W4321350238 modified "2023-10-09" @default.
- W4321350238 title "RIM-based value premium and factor pricing using value-price divergence" @default.
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- W4321350238 doi "https://doi.org/10.1016/j.jbankfin.2023.106812" @default.
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