While the 10-year realised ERP for growth stocks has been higher then historical mean, value stocks have struggled to outperform since the GFC. The 2010s being a decade of low interest rate has driven many to ask if these are the cause of Value underperformance. This thesis is, first, an attempt to understand the overall reasons for value drawdown, but the focus is on the relation between rates and stock valuation. The analysis I made address the research for yield so much popularized in the last decade through the acronym TINA, which stand for the phrase "there is no alternative" to stock, and the Equity Duration Measure, a statistic very popular in fixed income world that has received little attention in the academic of equity analysis.
While the 10-year realised ERP for growth stocks has been higher then historical mean, value stocks have struggled to outperform since the GFC. The 2010s being a decade of low interest rate has driven many to ask if these are the cause of Value underperformance. This thesis is, first, an attempt to understand the overall reasons for value drawdown, but the focus is on the relation between rates and stock valuation. The analysis I made address the research for yield so much popularized in the last decade through the acronym TINA, which stand for the phrase "there is no alternative" to stock, and the Equity Duration Measure, a statistic very popular in fixed income world that has received little attention in the academic of equity analysis.
Value Investing: the Impact of Rates
PAOLILLO, OMAR
2019/2020
Abstract
While the 10-year realised ERP for growth stocks has been higher then historical mean, value stocks have struggled to outperform since the GFC. The 2010s being a decade of low interest rate has driven many to ask if these are the cause of Value underperformance. This thesis is, first, an attempt to understand the overall reasons for value drawdown, but the focus is on the relation between rates and stock valuation. The analysis I made address the research for yield so much popularized in the last decade through the acronym TINA, which stand for the phrase "there is no alternative" to stock, and the Equity Duration Measure, a statistic very popular in fixed income world that has received little attention in the academic of equity analysis.È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/456