Is the Value Spread a Good Predictor of Stock Returns? UK Evidence
用英国数据复制美国研究，检验价值价差对股票回报的预测能力，发现其对组合回报无预测力，而账面市值比和市值账面比的预测力取决于组合构成。
Abstract: This paper explores the predictive ability of the value spread in the UK. I replicate the US analysis of Liu and Zhang (2007) using UK data. In addition, I extend their work by exploring the predictive ability of the book‐to‐market, market‐to‐book and value spread on other size and value investment strategies, namely: large‐caps only; small‐caps minus large‐caps (SML); value stocks only; growth stocks only; value stocks minus growth stocks (VMG) and a market portfolio that includes all stocks. The results are consistent with Liu and Zhang (2007) on the value spread. The value spread shows no predictive power for portfolio returns. Therefore, I show that the predictive power of book‐to‐market and market‐to‐book spreads depend on the portfolio formation strategies and the relative proportion of small‐cap, large‐cap, value and growth stocks in the portfolio.