Lecture: Price of Value and the Divergence Factor

Time: 12：00-13：00, March 27

Venue: Room 505, Tongji Building A

Speaker: Prof. WANG Guojun

Abstract：

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.