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Decomposing value globally

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Atılgan, Yiğit and Demirtaş, Özgür and Günaydın, Ali Doruk and Kırlı Öziş, Rabia İmra (2020) Decomposing value globally. Applied Economics, 52 (42). pp. 4659-4676. ISSN 0003-6846 (Print) 1466-4283 (Online)

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Official URL: http://dx.doi.org/10.1080/00036846.2020.1739614

Abstract

This paper utilizes an international context and revisits the findings which argue that the positive relation between book-to-market ratio and future equity returns is driven by historical changes in firm size in the US. After confirming these results in the US setting both in the original and a more recent sample period, we find that they do not hold in regions outside the US. In the international sample, book-to-market ratio has a significantly positive relation with future equity returns even after changes in firm size are controlled for in regression analyses. This positive relation is again visible when the orthogonal component of book-to-market ratio (which is independent of changes in firm size) is used as a sorting variable in portfolio analyses. Country-level analyses confirm the findings from regional analyses.

Item Type:Article
Uncontrolled Keywords:Value premium; decomposing value; size effect; cross-section of equity returns; international finance
Subjects:H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
ID Code:40086
Deposited By:Ali Doruk Günaydın
Deposited On:14 Sep 2020 18:06
Last Modified:14 Sep 2020 18:06

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