Value-Growth Factor

Posted: 12 May 2016 Last revised: 27 Jun 2017

Date Written: May 1, 2016

Abstract


If Value is a statistical concept that transforms into Growth (Pal, 2016b) then the Mean Reversion Ranking Framework (Pal, 2015a) with its three bin classification Value-Core-Growth could be a new way to look at market efficiency and CAPM. The Value-Core-Growth RMI™ Indices built around the methodology of overweighting Value and Growth and under-weighting Core allows for a new Indexing methodology that brings the question raised by Banz (1978) regarding the possibility of Size being a proxy, back into the discussion. This paper compares the Value-Growth factor with the Fama and French factors.

Keywords: Excess Returns, Size Factor, Value Factor, Fama and French, Beta

JEL Classification: A00, A10

Suggested Citation

Pal, Mukul, Value-Growth Factor (May 1, 2016). Available at SSRN: https://ssrn.com/abstract=2608344 or http://dx.doi.org/10.2139/ssrn.2608344

Mukul Pal (Contact Author)

AlphaBlock ( email )

Toronto, Ontario M8Z 2H6
Canada

HOME PAGE: http://www.alphablock.org

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