| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 961064 | Journal of Financial Markets | 2012 | 26 Pages |
Abstract
⺠We re-examine the value premium using an ex-ante variable, expected real GDP growth rate. ⺠We carry out a comprehensive set of time series and cross-sectional tests using this variable. ⺠None of the tests show firm evidence that the value premium can be explained by business risk. ⺠As in past studies, evidence against the risk-based explanation is strongest for small firms.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Wai Mun Fong,