资源描述：
《A Review and UpdateValue or volume strategy》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、ValueandGrowthInvesting:AReviewandUpdateLouisK.C.ChanandJosefLakonishok∗July2002∗DepartmentofFinance,CollegeofCommerceandBusinessAdministration,UniversityofIllinoisatUrbana-Champaign,Champaign,IL61820(Chan),andDepartmentofFinance,CollegeofCommerceandBusinessAdmin-istration,University
2、ofIllinoisatUrbana-Champaign,Champaign,IL61820,andNBER(Lakonishok).HanQuandSimonZhangprovidedresearchassistance.Giventheunavoidablelimitsontimeandspace,thispaperisnotmeanttobeanexhaustivereviewofexistingresearch;weapologizeinadvancetoauthorsofrelatedworkwhichhavebeenoverlookedinthisd
3、iscussion.AbstractWeprovideaselectiveoverviewoftheacademicresearchliteratureonvalueandgrowthinvesting.Differ-entexplanationsfortheperformanceofvalueversusgrowthstocksarediscussed.Empiricalresearchonthealternativeexplanationsisreviewed,andsomenewresultsareprovidedwithanupdatedsample.T
4、heevidencesuggeststhat,evenaftertakingintoaccounttheexperienceofthelate1990s,valueinvestinggen-eratessuperiorreturns.Commonmeasuresofriskdonotsupporttheargumentthatthereturndifferentialisduetothehigherriskinessofvaluestocks.Instead,behavioralconsiderationsandtheagencycostsofdelegated
5、investmentmanagementlieattherootofthevalue-growthspread.Thetopicofvalueandgrowthinvestingoffersashiningexampleofthefruitfulexchangeofideasbe-tweenacademicresearchandinvestmentpractice.Theresultsfromacademicstudieshaveformedthebasisforinvestmentstrategiesthatarewidelyappliedinequityma
6、rkets.Goingtheotherway,issuesencounteredbyportfoliomanagersandconsultantssuchasproceduresforidentifyingvalueorgrowthstyles,andthedesignofstyle-specificbenchmarkindexesforperformanceevaluation,havespurredongoinganalysisandextensionsintheresearchliterature.Theexplosionofacademicinterest
7、invalueandgrowthinvestmentstrategiescanbetracedbacktoFamaandFrench(1992),andLakonishok,ShleiferandVishny(1994).TheresultsofFamaandFrenchdeliveredastunningblowtotheexplanatorypoweroftheCapitalAssetPricingModel,andsparkeddebatesaboutthe“deathofbeta.”Inthewakeofthisstudy,academicsshifte
8、dtheirattent
