The Value Premium
The value anomaly arises naturally in the neoclassical framework with rational expectations. Costly reversibility and countercyclical price of risk cause assets in place to be harder to reduce, and hence are riskier than growth options especially in bad times when the price of risk is high. By linking risk and expected returns to economic primitives, such as tastes and technology, my model generates many empirical regularities in the cross-section of returns; it also yields an array of new refutable hypotheses providing fresh directions for future empirical research. Copyright 2005 by The American Finance Association.
Year of publication: |
2005
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Authors: | ZHANG, LU |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 60.2005, 1, p. 67-103
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Publisher: |
American Finance Association - AFA |
Saved in:
freely available
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