Journal
REVIEW OF FINANCIAL STUDIES
Volume 23, Issue 1, Pages 305-344Publisher
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhp029
Keywords
G12; G14; N22
Categories
Ask authors/readers for more resources
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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available