Value return predictability across asset classes and commonalities in risk premia
Autor(a) principal: | |
---|---|
Data de Publicação: | 2019 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/99415 |
Resumo: | We show that returns to value strategies in individual equities, industries, commodities, currencies, global government bonds, and global stock indexes are predictable in the time series by their respective value spreads. In all these asset classes, expected value returns vary by at least as much as their unconditional level. A single common component of the value spreads captures about two–thirds of value return predictability and the remainder is asset class–specific. We argue that common variation in value premia is consistent with rationally time–varying expected returns, because (i) common value is closely associated with standard proxies for risk premia, such as the dividend yield, intermediary leverage, and illiquidity, and (ii) value premia are globally high in bad times. |
id |
RCAP_8bfc23e2c01aa79b63145e1fc6b08bb5 |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/99415 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Value return predictability across asset classes and commonalities in risk premiaWe show that returns to value strategies in individual equities, industries, commodities, currencies, global government bonds, and global stock indexes are predictable in the time series by their respective value spreads. In all these asset classes, expected value returns vary by at least as much as their unconditional level. A single common component of the value spreads captures about two–thirds of value return predictability and the remainder is asset class–specific. We argue that common variation in value premia is consistent with rationally time–varying expected returns, because (i) common value is closely associated with standard proxies for risk premia, such as the dividend yield, intermediary leverage, and illiquidity, and (ii) value premia are globally high in bad times.NOVA School of Business and Economics (NOVA SBE)RUNBaba-Yara, FahizBoons, MartijnTamoni, Andrea2022-02-23T01:31:01Z2019-112019-11-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/99415engPURE: 19642625https://doi.org/10.2139/ssrn.3054017info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:46:19Zoai:run.unl.pt:10362/99415Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:39:10.378143Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Value return predictability across asset classes and commonalities in risk premia |
title |
Value return predictability across asset classes and commonalities in risk premia |
spellingShingle |
Value return predictability across asset classes and commonalities in risk premia Baba-Yara, Fahiz |
title_short |
Value return predictability across asset classes and commonalities in risk premia |
title_full |
Value return predictability across asset classes and commonalities in risk premia |
title_fullStr |
Value return predictability across asset classes and commonalities in risk premia |
title_full_unstemmed |
Value return predictability across asset classes and commonalities in risk premia |
title_sort |
Value return predictability across asset classes and commonalities in risk premia |
author |
Baba-Yara, Fahiz |
author_facet |
Baba-Yara, Fahiz Boons, Martijn Tamoni, Andrea |
author_role |
author |
author2 |
Boons, Martijn Tamoni, Andrea |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
NOVA School of Business and Economics (NOVA SBE) RUN |
dc.contributor.author.fl_str_mv |
Baba-Yara, Fahiz Boons, Martijn Tamoni, Andrea |
description |
We show that returns to value strategies in individual equities, industries, commodities, currencies, global government bonds, and global stock indexes are predictable in the time series by their respective value spreads. In all these asset classes, expected value returns vary by at least as much as their unconditional level. A single common component of the value spreads captures about two–thirds of value return predictability and the remainder is asset class–specific. We argue that common variation in value premia is consistent with rationally time–varying expected returns, because (i) common value is closely associated with standard proxies for risk premia, such as the dividend yield, intermediary leverage, and illiquidity, and (ii) value premia are globally high in bad times. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-11 2019-11-01T00:00:00Z 2022-02-23T01:31:01Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/99415 |
url |
http://hdl.handle.net/10362/99415 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
PURE: 19642625 https://doi.org/10.2139/ssrn.3054017 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799138007589060608 |