Macroeconomics and the value premium
The value premium as measured by the “high minus low” returns from the Fama and French database has been negative or statistically indistinguishable from zero for the past decade. The value premium is highly variable and non-normally distributed, making traditional statistical tests like t tests or...
Gespeichert in:
| Veröffentlicht in: | Journal of asset management 2021-07, Vol.22 (4), p.241-252 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 252 |
|---|---|
| container_issue | 4 |
| container_start_page | 241 |
| container_title | Journal of asset management |
| container_volume | 22 |
| creator | Jacobsen, Brian Lee, Wai |
| description | The value premium as measured by the “high minus low” returns from the Fama and French database has been negative or statistically indistinguishable from zero for the past decade. The value premium is highly variable and non-normally distributed, making traditional statistical tests like
t
tests or regressions difficult to implement or misleading. The authors hypothesize that the Great Moderation—a period of generally lower variability in economic growth and inflation—has not been great for the value premium. To demonstrate this, the authors use a variety of nonparametric techniques and panel analysis to show that the value premium was generally challenged by the Great Moderation. This is consistent with the idea that as a risk premium, if risk is lower, the premium should also be lower. |
| doi_str_mv | 10.1057/s41260-020-00200-2 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_2541134116</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2541134116</sourcerecordid><originalsourceid>FETCH-LOGICAL-c409t-bebe508b277ce501b90012316e1f27ec17e44533360de8a1a4dc5b482b256e403</originalsourceid><addsrcrecordid>eNp9kE1Lw0AQhhdRsFb_gKeAXldn9iObHKVoFSpeFLwtm-1UU5qk7iaC_95tI_TmYXYH5nnn42XsEuEGQZvbqFDkwEGkSA9wccQmqEzJ0ZTvx_sceCGMOGVnMa4ThKWGCbt-dj505Lu2a2ofM9cus_6Tsm-3GSjbBmrqoTlnJyu3iXTx90_Z28P96-yRL17mT7O7BfcKyp5XVJGGohLG-JRgVQKgkJgTroQhj4aU0lLKHJZUOHRq6XWlClEJnZMCOWVXY99t6L4Gir1dd0No00grtEKUKfJEiZFKi8cYaGW3oW5c-LEIdueGHd2wyQi7d8OKJMpG0e7UOh4kJkdTFIBlQuSIxFRsPygcpv_T-BfS9mos</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2541134116</pqid></control><display><type>article</type><title>Macroeconomics and the value premium</title><source>SpringerLink Journals</source><creator>Jacobsen, Brian ; Lee, Wai</creator><creatorcontrib>Jacobsen, Brian ; Lee, Wai</creatorcontrib><description>The value premium as measured by the “high minus low” returns from the Fama and French database has been negative or statistically indistinguishable from zero for the past decade. The value premium is highly variable and non-normally distributed, making traditional statistical tests like
t
tests or regressions difficult to implement or misleading. The authors hypothesize that the Great Moderation—a period of generally lower variability in economic growth and inflation—has not been great for the value premium. To demonstrate this, the authors use a variety of nonparametric techniques and panel analysis to show that the value premium was generally challenged by the Great Moderation. This is consistent with the idea that as a risk premium, if risk is lower, the premium should also be lower.</description><identifier>ISSN: 1470-8272</identifier><identifier>EISSN: 1479-179X</identifier><identifier>DOI: 10.1057/s41260-020-00200-2</identifier><language>eng</language><publisher>London: Palgrave Macmillan UK</publisher><subject>Asset management ; Automobile insurance ; Bankruptcy ; Bias ; Business cycles ; Capital assets ; Compensation ; Consumption ; Economic growth ; Economics and Finance ; Efficient markets ; Finance ; Financial Services ; GDP ; Gross Domestic Product ; Insurance companies ; Insurance premiums ; Macroeconomics ; Market entry ; Nonparametric statistics ; Original Article ; Policyholders ; R&D ; Research & development ; Risk Management ; Risk premiums ; Stocks ; Traffic accidents & safety</subject><ispartof>Journal of asset management, 2021-07, Vol.22 (4), p.241-252</ispartof><rights>The Author(s), under exclusive licence to Springer Nature Limited part of Springer Nature 2021</rights><rights>The Author(s), under exclusive licence to Springer Nature Limited part of Springer Nature 2021.</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c409t-bebe508b277ce501b90012316e1f27ec17e44533360de8a1a4dc5b482b256e403</citedby><cites>FETCH-LOGICAL-c409t-bebe508b277ce501b90012316e1f27ec17e44533360de8a1a4dc5b482b256e403</cites><orcidid>0000-0003-3560-427X</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1057/s41260-020-00200-2$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1057/s41260-020-00200-2$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,776,780,27901,27902,41464,42533,51294</link.rule.ids></links><search><creatorcontrib>Jacobsen, Brian</creatorcontrib><creatorcontrib>Lee, Wai</creatorcontrib><title>Macroeconomics and the value premium</title><title>Journal of asset management</title><addtitle>J Asset Manag</addtitle><description>The value premium as measured by the “high minus low” returns from the Fama and French database has been negative or statistically indistinguishable from zero for the past decade. The value premium is highly variable and non-normally distributed, making traditional statistical tests like
t
tests or regressions difficult to implement or misleading. The authors hypothesize that the Great Moderation—a period of generally lower variability in economic growth and inflation—has not been great for the value premium. To demonstrate this, the authors use a variety of nonparametric techniques and panel analysis to show that the value premium was generally challenged by the Great Moderation. This is consistent with the idea that as a risk premium, if risk is lower, the premium should also be lower.</description><subject>Asset management</subject><subject>Automobile insurance</subject><subject>Bankruptcy</subject><subject>Bias</subject><subject>Business cycles</subject><subject>Capital assets</subject><subject>Compensation</subject><subject>Consumption</subject><subject>Economic growth</subject><subject>Economics and Finance</subject><subject>Efficient markets</subject><subject>Finance</subject><subject>Financial Services</subject><subject>GDP</subject><subject>Gross Domestic Product</subject><subject>Insurance companies</subject><subject>Insurance premiums</subject><subject>Macroeconomics</subject><subject>Market entry</subject><subject>Nonparametric statistics</subject><subject>Original Article</subject><subject>Policyholders</subject><subject>R&D</subject><subject>Research & development</subject><subject>Risk Management</subject><subject>Risk premiums</subject><subject>Stocks</subject><subject>Traffic accidents & safety</subject><issn>1470-8272</issn><issn>1479-179X</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><sourceid>BENPR</sourceid><recordid>eNp9kE1Lw0AQhhdRsFb_gKeAXldn9iObHKVoFSpeFLwtm-1UU5qk7iaC_95tI_TmYXYH5nnn42XsEuEGQZvbqFDkwEGkSA9wccQmqEzJ0ZTvx_sceCGMOGVnMa4ThKWGCbt-dj505Lu2a2ofM9cus_6Tsm-3GSjbBmrqoTlnJyu3iXTx90_Z28P96-yRL17mT7O7BfcKyp5XVJGGohLG-JRgVQKgkJgTroQhj4aU0lLKHJZUOHRq6XWlClEJnZMCOWVXY99t6L4Gir1dd0No00grtEKUKfJEiZFKi8cYaGW3oW5c-LEIdueGHd2wyQi7d8OKJMpG0e7UOh4kJkdTFIBlQuSIxFRsPygcpv_T-BfS9mos</recordid><startdate>20210701</startdate><enddate>20210701</enddate><creator>Jacobsen, Brian</creator><creator>Lee, Wai</creator><general>Palgrave Macmillan UK</general><general>Palgrave Macmillan</general><scope>OQ6</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>88C</scope><scope>8FI</scope><scope>8FJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>FYUFA</scope><scope>F~G</scope><scope>GHDGH</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>M0T</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope><orcidid>https://orcid.org/0000-0003-3560-427X</orcidid></search><sort><creationdate>20210701</creationdate><title>Macroeconomics and the value premium</title><author>Jacobsen, Brian ; Lee, Wai</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c409t-bebe508b277ce501b90012316e1f27ec17e44533360de8a1a4dc5b482b256e403</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Asset management</topic><topic>Automobile insurance</topic><topic>Bankruptcy</topic><topic>Bias</topic><topic>Business cycles</topic><topic>Capital assets</topic><topic>Compensation</topic><topic>Consumption</topic><topic>Economic growth</topic><topic>Economics and Finance</topic><topic>Efficient markets</topic><topic>Finance</topic><topic>Financial Services</topic><topic>GDP</topic><topic>Gross Domestic Product</topic><topic>Insurance companies</topic><topic>Insurance premiums</topic><topic>Macroeconomics</topic><topic>Market entry</topic><topic>Nonparametric statistics</topic><topic>Original Article</topic><topic>Policyholders</topic><topic>R&D</topic><topic>Research & development</topic><topic>Risk Management</topic><topic>Risk premiums</topic><topic>Stocks</topic><topic>Traffic accidents & safety</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Jacobsen, Brian</creatorcontrib><creatorcontrib>Lee, Wai</creatorcontrib><collection>ECONIS</collection><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>Healthcare Administration Database (Alumni)</collection><collection>Hospital Premium Collection</collection><collection>Hospital Premium Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Business Premium Collection (Alumni)</collection><collection>Health Research Premium Collection</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>Health Research Premium Collection (Alumni)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global</collection><collection>Healthcare Administration Database</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Journal of asset management</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Jacobsen, Brian</au><au>Lee, Wai</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Macroeconomics and the value premium</atitle><jtitle>Journal of asset management</jtitle><stitle>J Asset Manag</stitle><date>2021-07-01</date><risdate>2021</risdate><volume>22</volume><issue>4</issue><spage>241</spage><epage>252</epage><pages>241-252</pages><issn>1470-8272</issn><eissn>1479-179X</eissn><abstract>The value premium as measured by the “high minus low” returns from the Fama and French database has been negative or statistically indistinguishable from zero for the past decade. The value premium is highly variable and non-normally distributed, making traditional statistical tests like
t
tests or regressions difficult to implement or misleading. The authors hypothesize that the Great Moderation—a period of generally lower variability in economic growth and inflation—has not been great for the value premium. To demonstrate this, the authors use a variety of nonparametric techniques and panel analysis to show that the value premium was generally challenged by the Great Moderation. This is consistent with the idea that as a risk premium, if risk is lower, the premium should also be lower.</abstract><cop>London</cop><pub>Palgrave Macmillan UK</pub><doi>10.1057/s41260-020-00200-2</doi><tpages>12</tpages><orcidid>https://orcid.org/0000-0003-3560-427X</orcidid></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1470-8272 |
| ispartof | Journal of asset management, 2021-07, Vol.22 (4), p.241-252 |
| issn | 1470-8272 1479-179X |
| language | eng |
| recordid | cdi_proquest_journals_2541134116 |
| source | SpringerLink Journals |
| subjects | Asset management Automobile insurance Bankruptcy Bias Business cycles Capital assets Compensation Consumption Economic growth Economics and Finance Efficient markets Finance Financial Services GDP Gross Domestic Product Insurance companies Insurance premiums Macroeconomics Market entry Nonparametric statistics Original Article Policyholders R&D Research & development Risk Management Risk premiums Stocks Traffic accidents & safety |
| title | Macroeconomics and the value premium |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-15T01%3A51%3A12IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Macroeconomics%20and%20the%20value%20premium&rft.jtitle=Journal%20of%20asset%20management&rft.au=Jacobsen,%20Brian&rft.date=2021-07-01&rft.volume=22&rft.issue=4&rft.spage=241&rft.epage=252&rft.pages=241-252&rft.issn=1470-8272&rft.eissn=1479-179X&rft_id=info:doi/10.1057/s41260-020-00200-2&rft_dat=%3Cproquest_cross%3E2541134116%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2541134116&rft_id=info:pmid/&rfr_iscdi=true |