@techreport{NBERw11326,
 title = "The Value Spread as a Predictor of Returns",
 author = "Naiping Lu and Lu Zhang",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "11326",
 year = "2005",
 month = "May",
 URL = "http://www.nber.org/papers/w11326",
 abstract = {Recent studies have used the value spread to predict aggregate stock returns to construct cash-flow betas that appear to explain the size and value anomalies. We show that two related variables, the book-to-market spread (the book-to-market of value stocks minus that of growth stocks) and the market-to-book spread (the market-to-book of growth stocks minus that of value stocks) predict returns in different directions and exhibit opposite cyclical variations. Most important, the value spread mixes information on the book-to-market and market-to-book spreads, and  appears much less useful in predicting returns.},
}