Journal Article10.2139/SSRN.330180
Is Value Riskier than Growth
TL;DR: This article study the risk of value and growth stocks and find that time-varying risk goes in the right direction in explaining the value premium, but they also find that this beta-premium covariance is too small to explain the observed magnitude of value premium within the conditional CAPM.
read more
Abstract: We study the risk of value and growth stocks. We find that time-varying risk goes in the right direction in explaining the value premium. Value betas tend to covary positively, and growth betas tend to covary negatively with the expected market risk premium. Our inference differs from that of previous studies because we sort conditional betas on the expected market risk premium, instead of on the realized market excess return. However, we also find that this beta-premium covariance is too small to explain the observed magnitude of the value premium within the conditional CAPM.
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
Aggregate Volatility Expectations and Threshold CAPM
TL;DR: In this paper, the authors proposed a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors' expectations regarding near-term aggregate volatility.
Do the Investment and Return‐on‐Equity Factors Proxy for Economic Risks?
TL;DR: In this article, the authors study the information content of two new return factors, the investment factor (IA) and the return-on-equity factor (ROE), as proposed by Chen, Novy-Marx, and Zhang in 2011.
10
•Dissertation
Momentum and Contrarian Trading Strategies: Implication for Risk-sharing and Informational Efficiency of Security Markets
Alain Wouassom
- 22 Feb 2017
TL;DR: In this paper, the authors present a survey of the main contents of the manuscript, including table of contents, table of figures, list of figures and list of tables of columns.
10
International Asset Pricing with Strategic Business Groups
TL;DR: In this article, the authors argue that business groups may strategically reallocate risk across affiliated firms to protect core "central firms" in bad times, which induces co-movement among central firms, creating a new intertemporal risk factor.
10
Value and Growth Investing in Asian Stock Markets 1991–2002
Joseph C. Kang,David K. Ding +1 more
- 01 Jan 2005
TL;DR: In this article, the authors examined two empirical questions: (1) Can multiple financial signals enhance the intermediate-horizon returns of value and glamour investments on Asian stock markets? and (2) Do the return enhancements, if any, differ by value and growth firm types and vary across different markets?
9
References
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
29.7K
The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
15.9K
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
7.5K
Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
6K
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
TL;DR: This paper presented a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variations of stock market volatility.