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dc.contributor.authorCampbell, John Y.
dc.contributor.authorPolk, Christopher
dc.contributor.authorVuolteenaho, Tuomo
dc.date.accessioned2012-11-08T17:45:48Z
dc.date.issued2010
dc.identifier.citationCampbell, 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.issn0893-9454en_US
dc.identifier.issn1465-7368en_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:9887622
dc.description.abstractThe 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.sponsorshipEconomicsen_US
dc.language.isoen_USen_US
dc.publisherOxford University Pressen_US
dc.relation.isversionofdoi:10.1093/rfs/hhp029en_US
dc.relation.hasversionhttp://www.nber.org/papers/w11389en_US
dash.licenseOAP
dc.titleGrowth or Glamour? Fundamentals and Systematic Risk in Stock Returnsen_US
dc.typeJournal Articleen_US
dc.description.versionAuthor's Originalen_US
dc.relation.journalReview of Financial Studiesen_US
dash.depositing.authorCampbell, John Y.
dc.date.available2012-11-08T17:45:48Z
dc.identifier.doi10.1093/rfs/hhp029*
dash.contributor.affiliatedCampbell, John


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