登入選單

返回Google圖書搜尋

What Drives Booms and Busts in Value?

John Y. Campbell

出版	National Bureau of Economic Research, 2023
URL	http://books.google.com.hk/books?id=TbNh0AEACAAJ&hl=&source=gbs_api

註釋

Value investing delivers volatile returns, with large drawdowns during both market booms and busts. This paper interprets these returns through an intertemporal CAPM, which predicts that aggregate cash flow, discount rate, and volatility news all move value returns. We document that indeed these shocks explain a large fraction of quarterly value returns over the last 60 years. We also distinguish between the intra-industry and inter-industry components of value, showing that the ICAPM explains the former better. Finally, we develop a novel methodology to perform this decomposition at the daily frequency, using it to interpret value returns during the Covid-19 pandemic.