DMCA
2005), ‘Is Value Riskier than Growth
| Venue: | Journal of Financial Economics |
| Citations: | 70 - 5 self |
BibTeX
@ARTICLE{Petkova_2005),‘is,
author = {Ralitsa Petkova and Lu Zhang},
title = {2005), ‘Is Value Riskier than Growth},
journal = {Journal of Financial Economics},
year = {},
pages = {187--202}
}
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Abstract
Yes! We study the time-varying risk patterns of value and growth stocks across business cycles. We find that the conditional market betas of value stocks covary positively with the expected market risk premium, and that value stocks are riskier than growth stocks in bad times when the expected market risk premium is high. The opposite is true for growth stocks. Methodologically, we measure time-varying risk by sorting conditional betas on the theoretically justified expected market risk premium, instead of the ex post realized market excess return. Our findings lend support to the predictions of recent rational asset pricing theory.
