| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9509 |
| 来源ID | Working Paper 9509 |
| Bad Beta, Good Beta | |
| John Y. Campbell; Tuomo Vuolteenaho | |
| 发表日期 | 2003-02-24 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This paper explains the size and value anomalies' in stock returns using an economically motivated two-beta model. We break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future cash flows and one reflecting news about the market's discount rates. Intertemporal asset pricing theory suggests that the former should have a higher price of risk; thus beta, like cholesterol, comes in bad' and good' varieties. Empirically, we find that value stocks and small stocks have considerably higher cash-flow betas than growth stocks and large stocks, and this can explain their higher average returns. The poor performance of the CAPM since 1963 is explained by the fact that growth stocks and high-past-beta stocks have predominantly good betas with low risk prices. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w9509 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567128 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Tuomo Vuolteenaho. Bad Beta, Good Beta. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9509.pdf（570KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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