Decomposing Value
研究发现价值溢价源于公司规模变化引起的账面市值比变动，基于此构建的因子能完全捕获价值溢价，而其他变动则无溢价。这对理解哪些公司真正获得价值溢价有重要意义。
Firms move between growth and value because of changes in either size or book value of equity. The value premium is specific to variation in book-to-market that emanates from size changes. A factor based on this variation earns the entire value premium; one based on the remaining variation earns no premium. Hence, not all high book-to-market firms earn the value premium, and some low book-to-market firms earn value-like returns. Many models price portfolios sorted by size and book-to-market. None distinguish firms that earn the value premium from those that have a high book-to-market but do not earn the premium. Received July 22, 2015; editorial decision June 29, 2017 by Editor Andrew Karolyi.