Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

• 成果类型: Article
• 署名作者: Campbell, John Y.; Polk, Christopher; Vuolteenaho, Tuomo
• 署名单位: Harvard University; National Bureau of Economic Research; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp029
• 发表日期: 2010
• 页码: 305
• 关键词: BOOK-TO-MARKET; cross-section; variance decomposition; PREDICTING RETURNS; dividend yields; COMMON-STOCKS; earnings; prices; INVESTMENT; duration

摘要

The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices, driven by shocks to market discount rates, while the cash flows of value stocks are particularly sensitive to permanent movements, driven by shocks to aggregate cash flows. Thus, the high betas of growth (value) stocks with the market's discount-rate (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, the systematic risks of individual stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.