Value Versus Growth: Time-Varying Expected Stock Returns

By Huseyin Gulen, Yuhang Xing, Lu Zhang. 2011

148 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/22d543473a072a275e847dc5569b415a8750f9a3

Citations in the corpus

• CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, unknown): “The conditional CAPM The intuition behind these results can be made clearer using the conditional CAPM of Jagannathan and Wang (1996) or, more broadly, the results in Hansen and Richard (1987). The conditional CAPM interpretation adds economic insights on why the value option earns a higher expected”
• Who Are the Value and Growth Investors (2017, unknown): “…2001, Petkova and Zhang 2005, Yogo 2006).4 Value stocks are also highly exposed to long-run macroeconomic risk (Bansal, Dittmar, and Lundblad 2005, Gulen, Xing, and Zhang 2011, Hansen, Heaton, and Li 2008).5 The excess returns of value stocks over growth stocks are informative about changes in…”