Conditional market exposures of the value premium /

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Bibliographic Details
Author / Creator:Qiao, Xiao, author.
Ann Arbor : ProQuest Dissertations & Theses, 2016
Description:1 electronic resource (66 pages)
Format: E-Resource Dissertations
Local Note:School code: 0330
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Other authors / contributors:University of Chicago. degree granting institution.
Notes:Advisors: Tobias Moskowitz; Lubos Pastor Committee members: Bryan Kelly; Pietro Veronesi.
Dissertation Abstracts International, Volume: 77-10(E), Section: A.
Summary:Value strategies exhibit a large positive beta if contemporaneous market excess returns are positive, and a small beta if contemporaneous market excess returns are negative. Value also has a large positive beta after bear markets, but a small beta after bull markets. These facts hold for equity-value strategies in 21 countries, and to a lesser extent for three non-equity-value strategies. Betas conditional on contemporaneous market returns capture expected-return variation associated with the book-to-market ratio. These betas also partially capture the value premium, and are related to larger cash-flow risks of value strategies.