Investor Uncertainty and the Superior Performance of Value Stocks

摘要: Several empirical studies show that investment strategies favor the purchase of stocks with low prices relative to dividends, earnings, book values or other measures value yield higher returns. Some these imply investors are too optimistic about (glamour) have had good performance in recent past and pessimistic (value) performed poorly. Others argue fundamentally riskier. In this paper we examine whether riskier than glamour over 1976-1998 period. Consistent Fama French (1992, 1996), our findings suggest return advantage reflects compensation for bearing risk. We find risk be associated investor uncertainly, manifested security analysts' divergence opinion future growth earnings stocks. Multifactor asset pricing tests uncertainty is important explaining superior The results also factor a state variable predicts economic growth.