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  • 2021
  • Working Paper

Going by the Book: Valuation Ratios and Stock Returns
By: Ki-Soon Choi, Eric So and Charles C.Y. Wang
We study the use of firms’ book-to-market ratios (B/M) in value investing and its implications for comovements in firms’ stock returns and trading volumes. We show B/M has become increasingly detached from common alternative valuation ratios over time while also...  View Details
Keywords: Valuation Ratios; Book-to-market Ratios; Investment Return; Investment; Decision Making
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  • August 2020
  • Article

Financial Market Risk Perceptions and the Macroeconomy
By: Carolin E. Pflueger, Emil Siriwardane and Adi Sunderam
We propose a novel measure of risk perceptions: the price of volatile stocks (PVS), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVS is high when perceived risk directly measured from surveys and...  View Details
Keywords: Risk-centric Business Cycles; Cross-section Of Equities; Real Risk-free Rate; Real Investment; Financial Markets; Risk and Uncertainty; Perception; Investment
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