Investing in Growth Stocks: Bimodal Payoff Distribution and Expected Returns

• 成果类型: Article; Early Access
• 署名作者: Zhang, Jasmine; Zhang, Xiao-Jun
• 署名单位: University of California System; University of California Berkeley; University of California System; University of California Berkeley
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.00980
• 发表日期: 2026
• 关键词: growth stock; extreme payoff; bimodal distribution; expected stock return

摘要

This paper documents that the payoffs from investing in growth stocks, as measured by the decile-rank distributions (DRD) of future revenues, earnings, investment, and stock returns, follow a bimodal U-shaped pattern. In contrast, the DRD of value stocks follows a traditional bell-shaped distribution. This divergence in payoff structures suggests growth stocks are more prone to structural shocks, such as disruptive technologies. Consequently, their pricing is heavily influenced by investors' attitude toward exceptional outcomes, resulting in lower expected stock returns in equilibrium. We find that stocks with more pronounced bimodal payoffs are associated with significantly lower subsequent stock returns.