Breaking down value
A novel method
Bibliographic Data
| ID | 21541924 |
|---|---|
| Authors | Mohammadreza Tavakoli Baghdadabad (0000-0002-0961-9454, Western Sydney University, corresponding author), Girijasankar Mallik (Western Sydney University) |
| Year | 2025 |
| Volume | 69 |
| Issue | 3 |
| Pages | 1467-1525 |
| Publication date | 2025-09-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-025-02769-2 |
| OpenAlex | W4411157200 |
| Language | EN |
| References cited | 27 |
This paper delves into the value premium in equity returns, exploring the superior performance of value stocks with high book-to-market ( $$\text{BM}$$ BM ) ratios over growth stocks. It introduces two novel decomposition models for $$\text{BM}$$ BM , incorporating Ball et al. (J Financ Econ 135:231–254, 2020)’s findings on the significance of the retained earnings-to-market ( $$\text{REM}$$ REM ) component. Through empirical analysis, the paper demonstrates REM’s predictive superiority over traditional $$\text{BM}$$ BM factors in forecasting stock returns, suggesting a shift toward $$\text{REM}$$ REM in asset pricing models. The research contributes to understanding the dynamics of the value premium, offering a refined methodological approach for evaluating firm value and equity returns
Econometrics · Economics · Statistics · Auditing, Earnings Management, Governance · Computer Science · Financial Markets and Investment Strategies · Financial Reporting and Valuation Research · Mathematics
| Highly cited | No |
|---|