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Market-wide Misvaluation and the Value Premium

Cassella, Stefano; Chen, Zhaojing; Gulen, Huseyin; … - 2021

We show that the magnitude of the value premium over 1968-2018 is conditional on states of aggregate market-wide misvaluation. The value premium is 3.42% per month following market-wide undervaluation and 1.70% per month following market-wide overvaluation. When the aggregate market is neither...

Persistent link: https://www.econbiz.de/10013222336

A closer look at value premium : literature review and synthesis

Pätäri, Eero; Leivo, Timo - In: Journal of economic surveys 31 (2017) 1, pp. 79-168

Persistent link: https://www.econbiz.de/10011757022

An anatomy of global risk premiums

Boon, Ling-Ni; Ielpo, Florian - In: The journal of asset management 17 (2016) 4, pp. 229-243

Persistent link: https://www.econbiz.de/10011504216

The risk and return conundrum explained : international evidence

Savva, Christos S.; Theodossiou, Panayiotis - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 486-521

Persistent link: https://www.econbiz.de/10011987799

Reconciling negative return skewness with positive time-varying risk premia

Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894

Persistent link: https://www.econbiz.de/10013364913

The value premium and uncertainty : an approach by support vector regression algorithm

Bui Thanh Khoa; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a … stocks have a higher average return than growth stocks due to the higher overall risk. Furthermore, this study combined the … Support Vector Regression (SVR) algorithm with the risk premium theoretical framework for the forecasting model; consequently …

Persistent link: https://www.econbiz.de/10014500739