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Title: Earnings persistence and the value premium
Author: Reibel, Andres
ISNI:       0000 0004 5348 503X
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2014
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For many years, academics have argued that firms with high book-to-market ratios yield higher returns than firms with low book-to-market ratios (i.e. the value premium). While there is agreement that a book- to-market based value strategy produces superior returns, academics have neglected to research whether the value premium is a function of other rm characteristics. In this dissertation it is shown that the book-to- market ratio is a function of earnings persistence. Evidence is provided that the value premium in low earnings persistence portfolios is higher because investors misjudge earnings persistence and not because this value strategy is fundamentally riskier.
Supervisor: David, McCarthy; James, Sefton Sponsor: Imperial College London
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral