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The value premium during flights

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  • Galvani, Valentina

Abstract

This study examines the returns on the value-minus-growth strategy in the U.S. stock market, during episodes of flight to and from safety. The premium is substantial for flight-to-safety months, especially for small and medium-sized equities. There is, however, also a sizeable value premium for large caps during flight-from-safety episodes. These findings are consistent with the value premium being originated mostly by leverage risk for large firms, and by exposure to systematic risk for small caps.

Suggested Citation

  • Galvani, Valentina, 2021. "The value premium during flights," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319306117
    DOI: 10.1016/j.frl.2020.101606
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    More about this item

    Keywords

    Flight-to-Safety; Value premium; Book-to-Market; Growth option; Leverage;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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