The Devil in HML’s Details
挑战了因子定价研究中衡量价值的传统方法，提出使用更及时的价格数据计算账面市值比，发现基于最新价格的价值组合能获得显著更高的超额收益。
In this article the authors challenge the standard method for measuring value that is used in academic work on factor pricing. The standard method uses lagged book data to calculate book-to-price (B/P) at portfolio formation. It aligns price data using the same lag, ignoring recent price movements. The authors propose two simple alternatives that use more timely price data; they then construct portfolios based on the different measures for a U.S. sample (from 1950 to 2011) and a global sample (from 1983 to 2011). They show that B/P ratios based on more timely prices better forecast true, unobservable B/P ratios at fiscal year-end. Value portfolios based on the timeliest measures earn statistically significant alphas, ranging between 305 and 378 basis points per year, versus the standard methods. <bold>TOPICS:</bold> <ext-link>Portfolio construction</ext-link>, <ext-link>statistical methods</ext-link>, <ext-link>accounting and ratio analysis</ext-link>