文献类型： 外文期刊

作者： Cong, Lin William ¹ ; George, Nathan Darden ³ ; Wang, Guojun ⁴ ;

作者机构： 1.Cornell Univ, Samuel Curtis Johnson Grad Sch Management, Ithaca, NY USA

2.Natl Bur Econ Res NBER, Cambridge, MA USA

3.Univ Calif Berkeley, Haas Sch Business, Berkeley, CA USA

4.Shanghai Normal Univ, Sch Finance & Business, Shanghai, Peoples R China

关键词： Asset pricing; Factor models; Mispricing; RIM; Value Investing

期刊名称：JOURNAL OF BANKING & FINANCE （ 影响因子：3.7； 五年影响因子：4.6 ）

ISSN： 0378-4266

年卷期： 2023 年 149 卷

页码：

收录情况： SCI

摘要： We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the seemingly missing value premium over past decades, and generate significant returns after adjusting for common factors. The value-price-divergence (VPD) factor constructed from the average returns of these portfolios within small and big stocks is not spanned by these known factors. Max Sharpe ratio and constrained R-squared tests reveal that VPD is a better substitute for the traditional value factor and that a four-factor model using the VPD, market, momentum, and size factors outperforms most extant benchmarks in ex-plaining the cross-section of expected equity returns, including value-to-price portfolios as test assets. The findings remain robust under alternative specifications of equity cost of capital.(c) 2023 Elsevier B.V. All rights reserved.