The Value Spread

By Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho. 2003

482 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/7ea62b48f7437e7af82950143d1f842b6ab1e4cc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

In Strategy and Management

Citations in the corpus

The History of the Cross Section of Stock Returns (2016, unknown): “2 Cohen et al. (2003) also note that the pre-1936 data are congruent with the later data: “It is comforting, however, that our main regression results are robust to the choice between the 1928–1997 and 1936–1997 periods.” The timing convention in Cohen et al. (2003) is such that their year 1936 obse”
The Expected Value Premium (2008, unknown): “As discussed in Cohen, Polk, and Vuolteenaho (2003), potential problems with disclosure regulations also affect our choice of the starting date of the sample period.4 Our definition of book equity is from Cohen, Polk, and Vuolteenaho (2003).”
In Search of Distress Risk (2008, methodology): “To deal with outliers in the data, we correct both NITA and TLTA using the di ﬀ erence between book equity (BE) and market equity (ME) to adjust the value of total assets: Book equity is as de ﬁ ned in Davis, Fama and French (2000) and outlined in detail in Cohen, Polk and Vuolteenaho (2003).”
Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation (2008, methodology): “Panel B of Table (8) lists the correlation matrix of the factors.”
Money as stock (2005, background): “Analogously, Cohen et al. (2003) find that higher corporate equity values forecast higher subsequent dividends.”
The Price Is (Almost) Right (2009, unknown): “This measure of cash flow risk can be motivated with the price-to-book decomposition used by Vuolteenaho (2001, 2002) and Cohen et al. (2003).”
Capitalized Intangibles and Financial Analysts (2006, unknown): “3 Cohen et al. (2001) decompose cross-sectional variation in firms’ book-to-market ratios using both a long US panel and a shorter international panel.”
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2012, unknown): “The value spread forecasts the value premium So in the model, the value spread forecasts the value premium, as Cohen, Polk, and Vuolteenaho (2003) have found empirically.”
The Stock Market and Corporate Investment: A Test of Catering Theory (2009, unknown): “Like Baker and Wurgler (2004), we follow Cohen, Polk, and Vuolteenaho (2003) and use the spread in value ratios across portfolios to predict their subsequent return.”
Accounting Recognition of Intangible Assets: Theory and Evidence on Economic Determinants (2005, background): “The first measure is labeled excess valuation (EV) following Thomadakis (1977) and Connolly et al. (1986), and is measured as equity market value minus book value of tangible assets.”
Habit formation, the cross section of stock returns and the cash-flow risk puzzle (2010, background): “…implication of our framework is that the presence of discount risk effects, which are associated with the time-series variation in risk preferences, affects the dynamics of the value premium, a feature for which there is already some empirical evidence (Cohen, Polk, and Vuolteenaho, 2003, Table V).”