Value premium and macroeconomic variables
研究宏观经济预期如何影响价值溢价，提出两阶段估计法分离出奖励宏观经济预期的价值溢价部分，发现期限结构水平和斜率对估值有行业依赖效应。
Abstract This paper investigates the effect of macroeconomic expectations on the value premium. We introduce a two‐pass estimation procedure to extrapolate the impact of investors' macroexpectations on the firm fundamental value of Rhodes‐Kropf, Robinson, and Viswanathan. We find that the level and slope of the term structure affect valuation, revealing a heavily industry‐dependent effect. The portfolios sorted on metrics orthogonal to macroeconomic variables show a clear association between the misvaluation component of value premium and size risk. By removing the influence of the macroeconomic conditions and size, we separate the portion of the value premium that rewards macroeconomic expectations.