The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
The Value Premium
Abstract
The value anomaly arises naturally in the neoclassical framework with rational expectations. Costly reversibility and countercyclical price of risk cause assets in place to be harder to reduce, and hence are riskier than growth options especially in bad times when the price of risk is high. By linking risk and expected returns to economic primitives, such as tastes and technology, my model generates many empirical regularities in the cross‐section of returns; it also yields an array of new refutable hypotheses providing fresh directions for future empirical research.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Dixit, R. K., & Pindyck, R. S. (1994) · doi:10.1515/9781400830176 · Cited by 9,029
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
The determinants of corporate leverage and dividend policies
Barclay, M. J., Smith, C. W., & Watts, R. L. (1995) · Journal of applied corporate finance · doi:10.1111/j.1745-6622.1995.tb00259.x · Cited by 555
Cited by
Hsu, P.-H., Li, K., & Tsou, C.-Y. (2020) · SSRN Electronic Journal · doi:10.2139/ssrn.3578215 · Cited by 665
Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment
COOPER, I. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00832.x · Cited by 363
Risk, Returns, and Multinational Production *
Fillat, J. L., & Garetto, S. (2015) · The Quarterly Journal of Economics · doi:10.1093/qje/qjv031 · Cited by 148
Corporate Governance and Costs of Equity: Theory and Evidence
Li, D., & Li, E. X. N. (2018) · Management Science · doi:10.1287/mnsc.2016.2570 · Cited by 22
Does Corporate Governance Affect the Cost of Equity Capital?
Li, E. X. N. (2009) · SSRN Electronic Journal · doi:10.2139/ssrn.1374292 · Cited by 7
Metadata
- Authors
- ZHANG, L.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2005-02
- Volume
- 60
- Issue
- 1
- Pages
- 67-103
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3122649028
- Cited by
- 1,331
- References
- 5
- FWCI
- 69.29
- Type
- journal article
- Language
- en
- Open access
- closed
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- ZHANG, L. (2005). The Value Premium. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00725.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
