Does Value Spread Predict Stock Returns? International Evidence
碩士 === 國立暨南國際大學 === 財務金融學系 === 99 === The paper explores the predictive ability of the value spread based on a sample of 45 MSCI countries. We follow the methodology proposed by Liu and Zhang (2007) and support their evidence that the value spread is largely acyclic and is not a useful predictor of...
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| Format: | Others |
| Language: | en_US |
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2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/rb2w4q |
| Summary: | 碩士 === 國立暨南國際大學 === 財務金融學系 === 99 === The paper explores the predictive ability of the value spread based on a sample of 45 MSCI countries. We follow the methodology proposed by Liu and Zhang (2007) and support their evidence that the value spread is largely acyclic and is not a useful predictor of aggregate stock returns in international stock markets. The two components of the value spread, book-to-market spread and market-to-book spread, predict stock returns but with opposite signs. The results are robust for both developed and emerging countries. We further examine whether our evidence sustains in industrial-wide and regional-wide frameworks. Our overall evidence indicates that the predictive ability of the market-to-book spread is more robust than that of the book-to-market spread.
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