Understanding Defensive Equity
收藏NBER2014-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w20591
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资源简介：
High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the poor absolute performance of the most aggressive stocks. In conjunction with the well documented inability of the Fama and French three-factor model to price small growth stocks,
高波动与高贝塔（high beta）股票显著偏向于小型、亏损型及成长型企业。此类风格倾斜特征，正是激进型股票绝对收益表现不佳的核心成因。结合已有充分文献证实的法玛-弗兰奇三因子模型（Fama-French Three-Factor Model）无法对小型成长股进行合理定价这一现象，
提供机构：
美国国家经济研究局
创建时间：
2014-10-01
