Is Value Riskier than Growth

By Ralitsa Petkova, Lu Zhang. 2005

660 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6937eed4439feac750ffb1668e655644e0fda7ae

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Citations in the corpus

CAPM Over the Long-Run: 1926-2001 (2003, positive): “In contrast to our approach that focuses purely on standard book-to-market sorted portfolios, Fama and French (1993, 2005), Lewellen and Nagel (in press), and Petkova and Zhang (2005) enhance the book-to-market effect by placing greater weight on small stocks.”
Value versus growth investing: Why do different investors have different styles? (2015, neutral): “If the value premium is the result of risk (e.g., Fama and French (1993) and Petkova and Zhang (2005)), it is surprising that risk-taking investors prefer growth stocks and mutual funds.”
The intertemporal capital asset pricing model with dynamic conditional correlations (2010, result): “8 Our finding that the HML is a priced factor is consistent with the recent empirical evidence provided by Campbell and Vuolteenaho (2004), Brennan et al. (2004), and Petkova and Zhang (2005) as well as with the recent theoretical models of Gomes et al. (2003) and Zhang (2005).”
Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach (2012, positive): “We also document that equity prices significantly underreact to these trends, confirming the contextual relation found in Piotroski (2000) and the general relations documented in Fama and”
Expected Returns, Yield Spreads, and Asset Pricing Tests (2005, neutral): “…when the risk premium is high.13 A theoretical explanation of the 13Related studies that reach somewhat similar conclusions are Ang and Chen (2004), Jostova and Philipov (2004), Petkova and Zhang (2005), and Anderson et al. (2005). countercyclical expected value premium is provided by Zhang (2005).”
Corporate Political Contributions and Stock Returns (2010, background): “In a rational expectations world, rational investors make 20 We follow Petkova and Zhang (2005), Jagannathan and Wang (1996), and others and examine the covariation of the political portfolio’s beta with the expected market risk premium in a conditional CAPM framework.”
Social Screens and Systematic Investor Boycott Risk (2017, methodology): “However, using the rolling beta approach in Petkova and Zhang (2005), we find that the time-varying betas for sin industries are either negatively correlated or uncorrelated with the market risk premium; accordingly, the conditional CAPM cannot explain the sin premium (results are in the Internet Ap”
Customer Satisfaction and Stock Returns Risk (2009, positive): “The impact of customer satisfaction on downside systematic risk indicates the extent to which investments in customer satisfaction can insulate a firm against stock market downturns (see Petkova and Zhang 2005).”
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, neutral): “…the next section, a value premium arises since the “value” option is modeled to have higher beta after a market downturn when the expected risk premium is high, consistent with the conditional CAPM model of Jagannathan and Wang (1996) and the empirical evidence provided by Petkova and Zhang (2005).”
Macroeconomic risks and characteristic-based factor models (2010, background): “Petkova and Zhang (2005) argue that realized industrial production growth is a poor proxy for the change in economic growth expectations and its usage would result in an errors-in-variables problem.”
The Volatility Effect in Emerging Markets (2013, positive): “with Rouwenhorst (1999), who observes that beta is not related to return in emerging markets over the 1982 to 1997 period, and also in line with Blitz and van Vliet (2007) and Baker, Bradley”