Do Cash Flows of Growth Stocks Really Grow Faster?

• 成果类型: Article
• 署名作者: Chen, Huafeng (Jason)
• 署名单位: Tsinghua University; Texas A&M University System; Texas A&M University College Station; Mays Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12518
• 发表日期: 2017
• 页码: 2279-2330
• 关键词: consistent covariance-matrix; cross-section; VALUE PREMIUM; returns; RISK; consumption; Dividends; duration

摘要

Contrary to conventional wisdom, growth stocks (i.e., low book-to-market stocks) do not have substantially higher future cash-flow growth rates than value stocks, in both rebalanced and buy-and-hold portfolios. Efficiency growth, survivorship and look-back biases, and the rebalancing effect help explain the results. These findings suggest that duration alone is unlikely to explain the value premium.