| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11389 |
| 来源ID | Working Paper 11389 |
| Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns | |
| John Y. Campbell; Christopher Polk; Tuomo Vuolteenaho | |
| 发表日期 | 2005-06-06 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; History ; Financial History |
| URL | https://www.nber.org/papers/w11389 |
| 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/569029 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Christopher Polk,Tuomo Vuolteenaho. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns. 2005. |
| 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 | ||
| w11389.pdf（408KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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