Is value riskier than growth?

• 成果类型: Article
• 署名作者: Petkova, R; Zhang, L
• 署名单位: University of Rochester; University System of Ohio; Case Western Reserve University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.12.001
• 发表日期: 2005
• 页码: 187-202
• 关键词: value; GROWTH; time-varying expected returns

摘要

We study the relative 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 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 capital asset pricing model. (c) 2005 Elsevier B.V. All rights reserved.