【2018年5月29日】【经济与金融系学术讨论会第23期】Price of Value and the Divergence Factor
发布时间:05-25-18

经济与金融系学术讨论会第23期 

时间:2018年5月29日(周二)11:50-12:30

地点:同济大厦A楼505室

主讲人: 王国俊 助理教授

题目:Price of Value and the Divergence Factor

语言:中文 

摘要:

Price of Value, measured by the ratio of market price to accounting-based valuation, subsumes the power of book-to-market and to a large extent of various quality measures in predicting the cross-section of average returns. Price-of-value strategies generate significantly higher returns than traditional value and other anomaly strategies even after common factors adjustments, and provides natural hedge against momentum strategies. A four factor model using the Market, Small-Minus-Big, Momentum, and Price-Value Divergence shows improvements over alternative factor models.