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The Value Premium During Flights

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  • Galvani, Valentina

    (University of Alberta, Department of Economics)

Abstract

This study examines the profitability on the value-minus-growth strategy in the U.S. stock market, during episodes of market instability. The value premium is very large for small and medium-sized equities during flight-to-safety episodes. There is evidence also of a remarkable value premium for large caps, during flight-from-safety events, where these scenarios are marked by declines in systematic risk and increasing yields. The empirical findings are consistent with a size-dependent explanation of the premium involving both leverage and the value of the growth option.

Suggested Citation

  • Galvani, Valentina, 2018. "The Value Premium During Flights," Working Papers 2018-18, University of Alberta, Department of Economics.
    • Handle: RePEc:ris:albaec:2018_018
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    File URL: https://sites.ualberta.ca/~econwps/2018/wp2018-18.pdf
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    More about this item

    Keywords

    Value Premium; Flight-to-Safety; Flight-from-Safety; Book-to-market;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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