期刊名称：HIER Discussion Paper Series / Harvard Institute of Economic Research
出版年度：2002
卷号：2002
出版社：Harvard Institute of Economic Research
摘要：This paper explains the size and value “anomalies” in stock returns using an economically motivated two-beta model. We break the beta of a stock with the market portfolio into two components, one reflecting news about the market’s future cash flows and one reflecting news about the market’s discount rates. Intertemporal asset pricing theory suggests that the former should have a higher price of risk; thus beta, like cholesterol, comes in “bad” and “good” varieties. Empirically, we find that value stocks and small stocks have considerably higher cash-flow betas than growth stocks and large stocks, and this can explain their higher average returns. The post- 1963 negative CAPM alphas of growth stocks are explained by the fact that their betas are predominantly of the good variety
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