Journal article
Rare booms and disasters in a multisector endowment economy
- Abstract:
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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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 619.1KB, Terms of use)
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- Publisher copy:
- 10.1093/rfs/hhv074
Authors
Contributors
Wachter, J
- Publisher:
- Oxford University Press
- Journal:
- Review of Financial Studies More from this journal
- Volume:
- 29
- Issue:
- 5
- Pages:
- 1113-1169
- Publication date:
- 2016-01-01
- Acceptance date:
- 2015-10-18
- DOI:
- EISSN:
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1465-7368
- ISSN:
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0893-9454
- Pubs id:
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pubs:606825
- UUID:
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uuid:af22654f-0d43-4ef8-a6d9-c8a155aac9c7
- Local pid:
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pubs:606825
- Source identifiers:
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606825
- Deposit date:
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2016-02-29
- ARK identifier:
Terms of use
- Copyright holder:
- Tsai and Wachter
- Copyright date:
- 2016
- Notes:
- © The Author 2015. Published by Oxford University Press on behalf of The Society for Financial Studies. This is the accepted manuscript version of the article. The final version is available online from OUP at: https://doi.org/10.1093/rfs/hhv074
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