THE IMPACT OF EQUITY MARKET RETURNS ON THE MAGNITUDE OF VALUE PREMIUMS

摘要

Numerous studies have identified differences in returns for value and growth portfolios in U.S. equity markets. The issues we address are, first, whether the equity value premium changes in a predictable manner over time and, second, whether the premium is correlated with the direction of the market index. Using S&P Barra Value and Growth Indexes, we find statistically significant negative correlations between the value premium and S&P500 returns.