Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

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dc.contributor.author Campbell, John Y.
dc.contributor.author Polk, Christopher
dc.contributor.author Vuolteenaho, Tuomo
dc.date.accessioned 2012-11-08T17:45:48Z
dc.date.issued 2010
dc.identifier.citation Campbell, John Y., Christopher Polk, and Tuomo Vuolteenaho. 2010. Growth or glamour? Fundamentals and systematic risk in stock returns. Review of Financial Studies 23(1): 305-344. en_US
dc.identifier.issn 0893-9454 en_US
dc.identifier.issn 1465-7368 en_US
dc.identifier.uri http://nrs.harvard.edu/urn-3:HUL.InstRepos:9887622
dc.description.abstract 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.growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firm's betas with market-wide cash flows, and this predictive power arises from the behavior of firm's cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals. en_US
dc.description.sponsorship Economics en_US
dc.language.iso en_US en_US
dc.publisher Oxford University Press en_US
dc.relation.isversionof doi:10.1093/rfs/hhp029 en_US
dc.relation.hasversion http://www.nber.org/papers/w11389 en_US
dash.license OAP
dc.title Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns en_US
dc.type Journal Article en_US
dc.description.version Author's Original en_US
dc.relation.journal Review of Financial Studies en_US
dash.depositing.author Campbell, John Y.
dc.date.available 2012-11-08T17:45:48Z

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