Earticle

초록

영어

This paper conducts an extensive empirical study on the predictive ability of the value spread based on a sample of 42 MSCI countries. Methodologically, we extend Liu and Zhang's (2008) analysis in an international framework, and nd consistent results that the value spread has little predictive ability on stock returns, while the two components (the book-to-market spread, and the market-to-book spread) predict stock returns with signicant yet opposite signs. Compared with the book-to-market spread and the value spread, the market- to-book spread demonstrates particularly stronger predictive power not only for country-specic returns, but also for returns of regional and industrial port- folios.

목차

Abstract
 1 Introduction
 2 Methodology and data
  2.1 Methodology and hypotheses
  2.2 Data and summary statistics
 3 Empirical results
  3.1 Country-wide predictability
  3.2 Predictability with macroeconomic variables
  3.3 Predictability on returns of small-cap stocks
  3.4 Predictability for the 5 regions
  3.5 Predictability for the 37 industries
 4 Conclusion
 References
 Table

키워드

저자

• Yu-Ru Huang [ Department of Banking and Finance, National Chi Nan University in Taiwan ]
• Kuan-Cheng Ko [ Department of Banking and Finance, National Chi Nan University in Taiwan ] Corresponding author
• Hsiang-Tai Lee [ Department of Banking and Finance, National Chi Nan University in Taiwan ]
• Shinn-Juh Lin [ Department of International Business, National Chengchi University in Taiwan. ]

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간행물

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  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330