Where Is the Risk in Value? Evidence from a Market‐to‐Book Decomposition
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DOI: 10.1111/jofi.12836
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Citations
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Cited by:
- Gonçalves, Andrei S. & Leonard, Gregory, 2023. "The fundamental-to-market ratio and the value premium decline," Journal of Financial Economics, Elsevier, vol. 147(2), pages 382-405.
- Cho, Thummim & Polk, Christopher, 2024. "Putting the price in asset pricing," LSE Research Online Documents on Economics 120805, London School of Economics and Political Science, LSE Library.
- Merkle, Christoph & Sextroh, Christoph J., 2021. "Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 159-178.
- Yin, Libo & Liao, Huiyi, 2024. "Anatomy of recent value premium's travails," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Cong, Lin William & George, Nathan Darden & Wang, Guojun, 2023.
"RIM-based value premium and factor pricing using value-price divergence,"
Journal of Banking & Finance, Elsevier, vol. 149(C).
- Lin William Cong & Nathan Darden George & Guojun Wang, 2023. "RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence," NBER Working Papers 30967, National Bureau of Economic Research, Inc.
- Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
- Vogt, Jan, 2021. "Managerial market timing: What is the pot size for long-term shareholders assuming firm management acts in their best interest and does have an informational advantage?," Global Finance Journal, Elsevier, vol. 49(C).
- Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
- Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
- Konstantinidi, Theodosia, 2022. "Firm life cycle, expectation errors and future stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
- Bao, May Xiaoyan & Crabtree, Aaron & Morris, Marc & Wan, Huishan, 2023. "Equity misvaluation and debt markets," Global Finance Journal, Elsevier, vol. 58(C).
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