The Value Premium

By Lu Zhang. 2005

1,484 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/b8863e940139de72598d5cb4fa239f90ad0a4f44

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Citations in the corpus

Yield Spreads as Alternative Risk Factors for Size and Book-to-Market (2006, neutral): “2See Daniel and Titman (1997) and Lakonishok, Shleifer, and Vishny (1994) for behavioral interpretations and Lewellen (1999), Liew and Vassalou (2000), Vassalou (2003), Vassalou and Xing (2004), and Zhang (2005) for risk-based interpretations.”
Firm-Level Productivity, Risk, and Return (2014, positive): “33For simplicity, we assume symmetric adjustment costs, but asymmetric adjustment costs as in Zhang (2005) or Tüzel (2010) would also break this symmetry and strengthen our results.”
Real Options, Product Market Competition, and Asset Returns (2009, neutral): “This literature includes Gomes, Kogan, and Zhang (2003), Kogan (2004), Carlson, Fisher and Giammarino (2004), Cooper (2005), and Zhang (2005a, 2005b).”
On the Scope and Drivers of the Asset Growth Effect (2011, positive): “• LSZ measure: [(Compustat Data 3, t-1) – (Compustat Data 3, t-2) + ( Data 7, t-1) – ( Data 7, t-2)] / Data 6 (t-2) from Lyandres, Sun, and Zhang (2008), where (Data 3) is inventories, (Data 7) is gross property, plant, and equipment, and (Data 6) is total assets of the firm.”
Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation (2008, positive): “This result is inconsistent with Zhang (2005a) who predicts that the investment-to-capital and book-to-market ratios can be used interchangeably.”
Habit formation, the cross section of stock returns and the cash-flow risk puzzle (2010, positive): “See also Zhang (2005). not touch upon and, in particular, the present paper is after a quantitative assessment of the cash-flow risk effects needed to generate a plausible value premium.”
Bayesian Analysis of Stochastic Betas (2005, positive): “These findings lend empirical support to the theoretical prediction of Gomes, Kogan, and Zhang (2003) that firm-level size and BM are associated with expected returns because they are correlated with the true beta.”
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks (2012, neutral): “The parameters of the distribution of λf (λ = 5, λ = 25) affect the average investment rate and the cross-sectional distribution of the investment rate, Tobin’s Q, and firm profitability.”
The Cross-Section and Time-Series of Stock and Bond Returns (2017, positive): “Leading risk-based explanations of the value premium rely on differences in the riskiness of assets in place relative to growth options (Zhang, 2005) or differences in the duration of cash flows of value and growth stocks (Lettau and Wachter, 2007).”