The DOI matches its Crossref record; 72 of the 72 references it cites were found in a registry or an index.
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
Open accessAbstract
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices, driven by shocks to market discount rates, while the cash flows of value stocks are particularly sensitive to permanent movements, driven by shocks to aggregate cash flows. Thus, the high betas of growth (value) stocks with the market's discount-rate (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, the systematic risks of individual stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
The Cross‐Section of Expected Stock Returns
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FAMA, E. F., & FRENCH, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05202.x · Cited by 6,700
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
Investor Sentiment and the Cross‐Section of Stock Returns
BAKER, M., & WURGLER, J. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00885.x · Cited by 6,049
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012) · Princeton University Press eBooks · doi:10.2307/j.ctt7skm5 · Cited by 5,875
Self-citationThe Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997) · doi:10.1515/9781400830213 · Cited by 5,008
Self-citationDo Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
Shiller, R. (1980) · National Bureau of Economic Research · doi:10.3386/w0456 · Cited by 3,986
Business conditions and expected returns on stocks and bonds
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Self-citation
Cited by
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu080 · Cited by 1,123
ANTÓN, M., & POLK, C. (2014) · The Journal of Finance · doi:10.1111/jofi.12149 · Cited by 367
Self-citationAn intertemporal CAPM with stochastic volatility
Campbell, J. Y., Giglio, S., Polk, C., & Turley, R. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.02.011 · Cited by 331
Self-citationCan economic policy uncertainty predict stock returns? Global evidence
Phan, D. H. B., Sharma, S. S., & Tran, V. T. (2018) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2018.04.004 · Cited by 282
Metadata
- Authors
- Campbell, J. Y., Polk, C., & Vuolteenaho, T.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2009-04-22
- Volume
- 23
- Issue
- 1
- Pages
- 305-344
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3122846252
- Cited by
- 359
- References
- 72
- FWCI
- 40.90
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
