Rare booms and disasters in a multisector endowment economy
<p>Why do value stocks have higher average returns than growth stocks, despite having lower risk? Why do these stocks exhibit positive abnormal performance, while growth stocks exhibit negative abnormal performance? This paper offers a rare-event-based explanation that can also account for the...
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| Materyal Türü: | Journal article |
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Oxford University Press
2016
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| _version_ | 1826291178399596544 |
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| author | Tsai, J |
| author_facet | Tsai, J |
| author_sort | Tsai, J |
| collection | OXFORD |
| description | <p>Why do value stocks have higher average returns than growth stocks, despite having lower risk? Why do these stocks exhibit positive abnormal performance, while growth stocks exhibit negative abnormal performance? This paper offers a rare-event-based explanation that can also account for the high equity premium and volatility of the aggregate market. The model explains other puzzling aspects of the data, such as joint patterns in time-series predictablity of aggregate market and value and growth returns, long periods in which growth outperforms value, and the association between positive skewness and low realized returns.</p> |
| first_indexed | 2024-03-07T02:55:31Z |
| format | Journal article |
| id | oxford-uuid:af22654f-0d43-4ef8-a6d9-c8a155aac9c7 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T02:55:31Z |
| publishDate | 2016 |
| publisher | Oxford University Press |
| record_format | dspace |
| spelling | oxford-uuid:af22654f-0d43-4ef8-a6d9-c8a155aac9c72022-03-27T03:47:35ZRare booms and disasters in a multisector endowment economyJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:af22654f-0d43-4ef8-a6d9-c8a155aac9c7Symplectic Elements at OxfordOxford University Press2016Tsai, J<p>Why do value stocks have higher average returns than growth stocks, despite having lower risk? Why do these stocks exhibit positive abnormal performance, while growth stocks exhibit negative abnormal performance? This paper offers a rare-event-based explanation that can also account for the high equity premium and volatility of the aggregate market. The model explains other puzzling aspects of the data, such as joint patterns in time-series predictablity of aggregate market and value and growth returns, long periods in which growth outperforms value, and the association between positive skewness and low realized returns.</p> |
| spellingShingle | Tsai, J Rare booms and disasters in a multisector endowment economy |
| title | Rare booms and disasters in a multisector endowment economy |
| title_full | Rare booms and disasters in a multisector endowment economy |
| title_fullStr | Rare booms and disasters in a multisector endowment economy |
| title_full_unstemmed | Rare booms and disasters in a multisector endowment economy |
| title_short | Rare booms and disasters in a multisector endowment economy |
| title_sort | rare booms and disasters in a multisector endowment economy |
| work_keys_str_mv | AT tsaij rareboomsanddisastersinamultisectorendowmenteconomy |