Book-to-Market Ratio and Skewness of Stock Returns
研究发现低账面市值比的魅力股比高账面市值比的价值股收益偏度更正，投资者对偏度的偏好部分解释了价值/魅力股之谜，且会计指标如账面收益率能预测收益偏度。
ABSTRACT: This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to these glamour (value) stocks also correlates significantly with the difference in return skewness. These findings suggest that the value/glamour-stock puzzle is partially explained by investor preference for positive skewness in stock returns. Such preference for skewness, which is consistent with investors having inverse S-shaped utility functions, is observed in such consumer behaviors as lottery purchases and gambling. This paper further documents significant predictive power of accounting-based measures, such as the book rate of return, with respect to the skewness of stock returns. Data Availability: Data are available from sources identified in the paper.