Risk and Return of Value Stocks
AbstractThe authors find that value stocks are riskier because they are usually firms under distress, have high financial leverages, and face substantial uncertainty in future earnings. These risk characteristics are as powerful as are size and book-to-market in explaining cross-sectional differences in return in Pacific Rim markets. Value stocks offer reliably higher returns in the United States, Japan, Hong Kong, and Malaysia, corresponding to the higher risk, but not in the high-growth markets of Taiwan and Thailand because the spread of risk between small high-book-to-market stocks and big low-book-to-market stocks is small. Copyright 1998 by University of Chicago Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 71 (1998)
Issue (Month): 4 (October)
Contact details of provider:
Web page: http://www.journals.uchicago.edu/JB/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kuan Xu & Gordon Fisher, 2006. "Myopic loss aversion and margin of safety: the risk of value investing," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 481-494.
- Kie Wong & Ruth Tan & Wei Liu, 2006. "The Cross-Section of Stock Returns on The Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 26(1), pages 23-39, February.
- Long, Wen & Mok, Henry M.K. & Hu, Yan & Wang, Huiwen, 2009. "The style and innate structure of the stock markets in China," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 224-242, April.
- Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004.
"The real-time predictability of the size and value premium in Japan,"
Open Access publications from Maastricht University
urn:nbn:nl:ui:27-19320, Maastricht University.
- Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
- Huang, Alan Guoming, 2009. "The cross section of cashflow volatility and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 409-429, June.
- Chiao, Chaoshin & Chen, Shin-Hui & Hu, Jia-Ming, 2010. "Informational differences among institutional investors in an increasingly institutionalized market," Japan and the World Economy, Elsevier, vol. 22(2), pages 118-129, March.
- Hoa Nguyen & Robert Faff, 2010. "Are firms hedging or speculating? The relationship between financial derivatives and firm risk," Applied Financial Economics, Taylor and Francis Journals, vol. 20(10), pages 827-843.
- Huang, I-Hsiang, 2011. "The cyclical behavior of the risk of value strategy: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 404-419, September.
- Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
- In, Francis & Kim, Sangbae, 2007. "A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables," Finance Research Letters, Elsevier, vol. 4(3), pages 165-171, September.
- Sulaiman Mouselli, 2010. "Disentangling the value premium in the UK," Journal of Risk Finance, Emerald Group Publishing, vol. 11(3), pages 284-295, May.
- Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
- Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
- John Gallo & Chanwit Phengpis & Peggy Swanson, 2007. "Determinants of Equity Style," Journal of Financial Services Research, Springer, vol. 31(1), pages 33-51, February.
- Chris Brooks & Xiafei Li & Joelle Miffre, 2009. "Time Varying Volatility and the Cross-Section of Equity Returns ," ICMA Centre Discussion Papers in Finance icma-dp2009-01, Henley Business School, Reading University.
- Lahr, Henry & Kaserer, Christoph, 2009. "Net asset value discounts in listed private equity funds," CEFS Working Paper Series 2009-12, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
- Sophie Nivoix & Jacques Léonard & Jean-Pierre Berdot, 2006. "Valeurs de croissance contre valeurs de rendement : l’impossible stratégie," Revue d'Économie Financière, Programme National Persée, vol. 86(5), pages 363-373.
- De Moor, Lieven & Fang, Liu & Sercu, Piet & Vinaimont, Tom, 2012.
"An Anatomy of Fundamental Indexing,"
2012/15, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- De Moor, Lieven & Liu, Fang & Sercu, Piet & Vinaimont, Tom, 2012. "An anatomy of fundamental indexing," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/341155, Katholieke Universiteit Leuven.
- Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013. "Reits' Growth Options and Asset Pricing Dynamics across Time," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 1303, Koc University-TUSIAD Economic Research Forum.
- Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
- Joseph T.L. Ooi & James R. Webb & Dingding Zhou, 2007. "Extrapolation Theory and the Pricing of REIT Stocks," Journal of Real Estate Research, American Real Estate Society, vol. 29(1), pages 27-56.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).
If references are entirely missing, you can add them using this form.