À繫¿¬±¸ Á¦ ±Ç È£ (2012³â 9¿ù)
Asian Review of Financial Research, Vol., No..
pp.820~848
pp.820~848
Does the Value Spread Predict International Stock Returns?
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
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.
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 signicant 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-specic returns, but also for returns of regional and industrial port- folios.
Yu-Ru Huang
Kuan-Cheng Ko
Hsiang-Tai Lee
Shinn-Juh Lin
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 signicant 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-specic returns, but also for returns of regional and industrial port- folios.
The value spread,Time-series predictability,International stock markets.
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