Value versus Growth: Time‐Varying Expected Stock Returns
研究价值溢价是否可预测，使用两状态马尔可夫转换模型发现高波动状态下价值股预期超额收益对经济状况更敏感，导致价值溢价时变，但样本外预测能力几乎不存在。
Is the value premium predictable? We study time variations of the expected value premium using a two‐state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the expected excess returns of growth stocks. As a result, the expected value premium is time varying. It spikes upward in the high volatility state, only to decline more gradually in the subsequent periods. However, out‐of‐sample predictability of the value premium is close to nonexistent.