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Growth or glamour?: fundamentals and systematic risk in stock returns

Campbell, John Y., Polk, Christopher and Vuolteenaho, Tuomo (2010) Growth or glamour?: fundamentals and systematic risk in stock returns. Review of Financial Studies, 23 (1). pp. 305-344. ISSN 0893-9454

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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.

Item Type: Article
Official URL: http://rfs.oxfordjournals.org/
Additional Information: © 2009 The Authors
Library of Congress subject classification: H Social Sciences > HG Finance
Sets: Departments > Finance
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 08 Feb 2011 12:26
URL: http://eprints.lse.ac.uk/32276/

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