Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
收藏NBER2005-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w11144
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资源简介：
This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a cross
提供机构：
美国国家经济研究局
创建时间：
2005-02-01
