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- W2891658629 abstract "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-events 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." @default.
- W2891658629 created "2018-09-27" @default.
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- W2891658629 date "2012-01-01" @default.
- W2891658629 modified "2023-10-05" @default.
- W2891658629 title "Rare Booms and Disasters in a Multi-Sector Endowment Economy" @default.
- W2891658629 doi "https://doi.org/10.2139/ssrn.2121507" @default.
- W2891658629 hasPublicationYear "2012" @default.
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