Value versus Growth: Time-Varying Expected Stock Returns
收藏NBER2010-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15993
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2010-05-01
