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Publication - Chris Brooks, Xiafei Li, Joëlle Miffre - The Value Premium and Time-Varying Volatility


Brooks C., X. Li, J. Miffre (Mai 2008) " The Value Premium and Time-Varying Volatility ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper.


Résumé

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the valueminus-growth portfolios. Our results show that the conditional variance model incorporating timevarying idiosyncratic risk can fully capture the post-1963 value premium. The conclusion is robust to the criterion used to sort stocks into value and growth portfolios, to the inclusion of the size premium into the conditional asset pricing model, and to the country under review (US and UK). Our paper therefore adds to the debate on the possible role of idiosyncratic risk in explaining equity returns.

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Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

EDHEC_Working_Paper_The_Value_Premium_and_Time-Varying_Volatility
[Texte intégral - PDF - En anglais
28 pages - 1,52 Mo]

rédigé par STEPHANE COLOMBANI
mise à jour le 1 septembre 2008

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