MARC Record from Scriblio

LEADER: 02204cam 22003137a 4500
001 2005618241
003 DLC
005 20050621141245.0
007 cr |||||||||||
008 050621s2005 mau sb 000 0 eng
010 $a 2005618241
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aCampbell, John Y.
245 10 $aGrowth or glamour?$h[electronic resource]$bfundamentals and systematic risk in stock returns /$cJohn Y. Campbell, Christopher Polk, Tuomo Vuolteenaho.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 11389
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/21/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's 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, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals"--National Bureau of Economic Research web site.
650 0 $aStocks$xPrices.
650 0 $aRisk.
700 1 $aPolk, Christopher.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 11389.
856 40 $uhttp://papers.nber.org/papers/W11389