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Wiley InterScience | |||||||||||||||||||||||||
  The Journal of FinanceVolume 61 Issue 5, Pages 2163 - 2185 Published Online: 19 Sep 2006 © 2010 the American Finance Association
Abstract | References | Full Text: HTML, PDF (Size: 265K) | Related Articles | Citation Tracking  The Value Premium and the CAPM Copyright 2006 by The American Finance Association ABSTRACT
We examine (1) how value premiums vary with firm size, (2) whether the CAPM explains value premiums, and (3) whether, in general, average returns compensate β in the way predicted by the CAPM. Loughran's (1997) evidence for a weak value premium among large firms is special to 1963 to 1995, U.S. stocks, and the book-to-market value-growth indicator. Ang and Chen's (2005) evidence that the CAPM can explain U.S. value premiums is special to 1926 to 1963. The CAPM's more general problem is that variation in β unrelated to size and the value-growth characteristic goes unrewarded throughout 1926 to 2004. | 
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Conference and Special Issue on Corporate Governance and the Global Financial Crisis
24-25 September 2010 in Philadelphia, USA
Deadline for Conference Proposals: 1 March 2010
Deadline for Special Issue Papers: 1 August 2010
Special Issue on Private Equity, LBOs, and Corporate Governance: International Evidence
Submission deadline: 1 March 2010
Guest edited by Igor Filatotchev, Donald Siegel and Mike Wright
