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1、Lecture7:TheValuePremiumExamine3greatpapers1.Lakonishok,Shleifer,andVishny(1994)–valueandgrowtheffectwithabehavioralinterpretation.2.FamaandFrench(1996)–comprehensiveanalysisofallanomalies,witharationalrisk-basedinterpreta-tion.3.DanielandTitman(1997)–trytobreakthelog-jamofthebehavioralvs.ris
2、k-baseddebate.•Twomorerecentpapersthatfollowed:Davis,Fama,andFrench(2000),andBerk(2001).1ContrarianInvestment,Extrapolation,andRisk–Lakonishok,Shleifer,andVishny(1994,JF)ValueandGrowth•formportfoliosofvaluestocks–avaluestockisonewithlowpricerelativetosomemeasureoffundamentals,i.e.highbooktom
3、arket(B/M)ratioscashflowtoprice(C/P)ratiosearningstoprice(E/P)ratios•alsoformportfoliosofgrowthstocks,i.e.withlowvaluesoftheseratios•findthatvaluestocksdramaticallyoutperformgrowthstocksWhy?•LSVarguethatvaluevs.growthstrategies(contrar-ianstrategies)exploitnaiveinvestorbehaviorandarenotriskier
4、.•Investorsmayextrapolateearningstoofarinthefu-ture,mayoverreacttonews,assumeatrendinstockprices,orequateagoodcompanywithagoodinvest-ment.2•irrationalstory:StocksthathavedonewellinthepastareGrowthstocksthatare‘glamorous’toin-vestors.Peopletendtowanttobuytheseandstam-pedetowardsthem,pushingup
5、theprice,anddepress-ingtheirfuturereturns.Valuestockshavebeenneglected,peopletendtoover-reacttothesepoorlyperformingfirms,causingtheirpricestofalltoomuch,andexpectedreturnstorise.Psychologicalevidencesuggestspeopleformthesenaivestrategies.Thisisanoverreactionstory,andacontrarianstrat-egyexplo
6、itsit.•LSValsoarguethatvaluestocksarenotriskierthangrowthstocks.–theydon’thavehighervariance–theydon’thavehighdownsiderisk(i.e.,donotunderperformoftenorbythatmuch)–theydon’thavehigherbetas–theydon’tunderperforminbadstatesoftheworld•Theyexaminetwoaspectsofthesestrategies:1.Glamourstocksshould
7、bethosewherepastperfor-mancewasgoodandexpectedfutureperformance3isgood.Valuestocksarethosewherepastperfor-mancewasbadandexpectedfutureperformanceisbad.Theyarguethatpastandexpectedperformancearedistinctandmeasurable.–Pastperformance:pastgrowthinsale
