Publication: Downside risk aversion, fixed-income exposure, and the value premium puzzle
Program
KU-Authors
KU Authors
Co-Authors
Baltussen, Guido
Van Vliet, Pim
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative Title
Abstract
The value premium is relatively small for investors with a material fixed-income exposure, such as insurance companies and pension funds, especially when they are downside-risk-averse. Value stocks are less attractive to these investors because they offer a relatively poor hedge against poor bond returns. This result arises for plausible, medium-term evaluation horizons of around one year. Our findings cast doubt on the practical relevance of the value premium for these investors and reiterate the importance of the choice of the relevant test portfolio, risk measure and investment horizon in empirical tests of market portfolio efficiency.
Source
Publisher
Elsevier Science Bv
Subject
Business, Finance, Economics
Citation
Has Part
Source
Journal Of Banking & Finance
Book Series Title
Edition
DOI
10.1016/j.jbankfin.2012.07.020