The Value Premium During Flights

Valentina Galvani

No 2018-18, Working Papers from University of Alberta, Department of Economics

Abstract: This study examines the profitability on the value-minus-growth strategy in the U.S. stock market, during episodes of market instability. The value premium is very large for small and medium-sized equities during flight-to-safety episodes. There is evidence also of a remarkable value premium for large caps, during flight-from-safety events, where these scenarios are marked by declines in systematic risk and increasing yields. The empirical findings are consistent with a size-dependent explanation of the premium involving both leverage and the value of the growth option.

Keywords: Value Premium; Flight-to-Safety; Flight-from-Safety; Book-to-market (search for similar items in EconPapers)
JEL-codes: G01 G12 (search for similar items in EconPapers)
Pages: 76 pages
Date: 2018-11-01
New Economics Papers: this item is included in nep-rmg
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Journal Article: The value premium during flights (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:albaec:2018_018

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