search query: @freeterm VALUE / total: 11
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| Author: | Petkova, R. Zhang, L. |
| Title: | Is value riskier than growth? |
| Journal: | Journal of Financial Economics
2005 : OCT, VOL. 78:1, p. 187-202 |
| Index terms: | growth return on investment risk |
| Freeterms: | value |
| Language: | eng |
| Abstract: | The relative risk of value and growth stocks is studied in this paper. It is found that time-varying risk goes in the right direction in explaining the value premium. Value betas tend to covary positively, and growth betas tend to covary negatively with the expected market risk premium. This inference differs from that of previous studies because this one sorts betas on the expected market risk premium, instead of on the realized market excess return. |
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