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Innovative value indicators: Firm specific versus macroeconomic

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  • Seung Woog (Austin) Kwag

    (Jon M. Huntsman School of Business, Utah State University)

  • Sang Whi Lee

Abstract

One unscrutinized issue in valuation concerns how sensitive stock returns are to the change in a value determinant as opposed to its level. In this article, we examine well-recognized firm-specific and macroeconomic value determinants both in level and in change in the context of stock return predictability. The empirical evidence suggests that the value determinants in change (termed as innovative value determinants) possess dominating significance and predictive power relative to the level value determinants in justifying total stock returns.

Suggested Citation

  • Seung Woog (Austin) Kwag & Sang Whi Lee, 2012. "Innovative value indicators: Firm specific versus macroeconomic," Journal of Asset Management, Palgrave Macmillan, vol. 13(5), pages 339-347, October.
    • Handle: RePEc:pal:assmgt:v:13:y:2012:i:5:d:10.1057_jam.2012.15
    DOI: 10.1057/jam.2012.15
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    References listed on IDEAS

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