Concepedia

Value Factor Models

Value Factor Models is a class of asset pricing models within factor investing frameworks that identifies and exploits systematic returns associated with stocks trading at discounts to their intrinsic value, as measured by fundamental metrics such as book-to-market equity, earnings yield, or dividend yield.

38

Publications

3.2K

Citations

79

Authors

55

Institutions

Publications per year

2017–2026

16

Variants

Value Factor Model

Parents

Publications

38

Size and value in China

Jianan Liu, Robert F. Stambaugh, Yu Yuan · Journal of Financial Economics · 2019 · 825 citations · Full text

, , +17

Gender, Values, and Environmentalism

Thomas Dietz, Linda Kalof, Paul C. Stern · Social Science Quarterly · 2002 · 573 citations

, , +14

Growth Opportunities, Technology Shocks, and Asset Prices

Leonid Kogan, Dimitris Papanikolaou · The Journal of Finance · 2013 · 321 citations

, , +16

The cannibalization effect of wind and solar in the California wholesale electricity market

Javier López Prol, Karl W. Steininger, David Zilberman · Energy Economics · 2019 · 200 citations · Full text

, , +17

A Comparison of New Factor Models

Kewei Hou, Xue Chen, Lu Zhang · SSRN Electronic Journal · 2014 · 157 citations · Full text

, , +17

1–5 of 38

Authors

79

  1. RI
    Ronen Israel

    Capital University, United States

    4 publications · 184 citations

    4

    h-index

  2. MX
    Matthias X. Hanauer

    Technical University of Munich, Germany

    2 publications · 75 citations

    2

    h-index

  3. AF
    Andrea Frazzini

    Capital University, United States

    2 publications · 135 citations

    2

    h-index

  4. CS
    Clifford S. Asness

    Capital University, United States

    2 publications · 135 citations

    2

    h-index

  5. KH
    Kewei Hou

    The Ohio State University, United States

    2 publications · 176 citations

    2

    h-index

1–5 of 79

Institutions

55

  1. National Bureau of Economic Research

    Cambridge, United States

    6 h-index

    7 publications

    697 citations

  2. Yale University

    New Haven, United States

    3 h-index

    4 publications

    78 citations

  3. Whitney Museum of American Art

    New York, United States

    2 h-index

    2 publications

    37 citations

  4. Capital University

    Bexley, United States

    2 h-index

    6 publications

    120 citations

  5. University of Greenwich

    London, United Kingdom

    2 h-index

    3 publications

    81 citations

  6. Greenwich Hospital

    Greenwich, United States

    2 h-index

    5 publications

    97 citations

  7. Massachusetts Institute of Technology

    Cambridge, United States

    2 h-index

    2 publications

    347 citations

  8. Hong Kong Polytechnic University

    Hong Kong, Hong Kong

    2 h-index

    3 publications

    370 citations

1–8 of 55

Venues

  1. SSRN Electronic Journal

    Repository · 9 publications · 376 citations

    9

    h-index

  2. The Journal of Portfolio Management

    JPM · 4 publications · 234 citations

    4

    h-index

  3. The Journal of Finance

    2 publications · 337 citations

    2

    h-index

  4. Journal of the Chinese Institute of Industrial Engineers

    JCIIE · 1 publications · 10 citations

    1

    h-index

  5. Review of Financial Studies

    1 publications · 46 citations

    1

    h-index

1–5