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Decomposing Value
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DOI：10.1093/rfs/hhx118.png)
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Abstract
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Firms move between growth and value because of changes in either size or book value of equity. The value premium is specific to variation in book-to-market that emanates from size changes. A factor based on this variation earns the entire value premium; one based on the remaining variation earns no premium. Hence, not all high book-to-market firms earn the value premium, and some low book-to-market firms earn value-like returns. Many models price portfolios sorted by size and book-to-market. None distinguish firms that earn the value premium from those that have a high book-to-market but do not earn the premium.
Keywords:
CROSS-SECTION
AVERAGE RETURNS
DELISTING BIAS
INVESTMENT
CONSUMPTION
BETA
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