The value premium during flights

Valentina Galvani

Finance Research Letters, 2021, vol. 39, issue C

Abstract: This study examines the returns on the value-minus-growth strategy in the U.S. stock market, during episodes of flight to and from safety. The premium is substantial for flight-to-safety months, especially for small and medium-sized equities. There is, however, also a sizeable value premium for large caps during flight-from-safety episodes. These findings are consistent with the value premium being originated mostly by leverage risk for large firms, and by exposure to systematic risk for small caps.

Keywords: Flight-to-Safety; Value premium; Book-to-Market; Growth option; Leverage (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: The Value Premium During Flights (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319306117

DOI: 10.1016/j.frl.2020.101606

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