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1、FirstDraft:August2004Thisdraft:June2005Notforquotation:CommentswelcomeTheAnatomyofValueandGrowthStockReturns*EugeneF.FamaandKennethR.FrenchAbstractWebreakaveragereturnsonvalueandgrowthportfoliosintodividendsandthreesourcesofcapitalgain,(i)reinvestmentofearnings,(ii)convergenceinprice-to-bookrati
2、os(P/B)duetomeanreversioninprofitability,growth,andexpectedreturns,and(iii)generalupwarddriftinP/Bduringthe1963-2004period.Thecontributionofdrifttoaveragereturnsissimilarforvalueandgrowthportfolios,andrelativelysmall.Dividendsareimportantforvaluestocks,butreinvestmentofearningsisatrivialfactorin
3、theircapitalgains.Thehighcapitalgainsofvaluestockstracemostlytoconvergence–P/Brisesasvaluefirmsbecomemoreprofitableandmovetolowerexpectedreturngroups.Incontrast,dividendsarelessimportantforgrowthstocks,andreinvestmentisthedominantpositivefactorintheircapitalgains.Forgrowthstocks,convergenceisneg
4、ative–P/Bfallsbecausegrowthstocksdonotalwaysremainhighlyprofitablewithlowexpectedreturns.*GraduateSchoolofBusiness,UniversityofChicago(Fama),andAmosTuckSchoolofBusiness,DartmouthCollege(French).Valuestocks(stockswithhighratiosofbookvaluetoprice)havehigheraveragereturnsthangrowthstocks(stockswith
5、lowbook-to-marketratios).(See,forexample,Rosenberg,Reid,andLanstein1985,FamaandFrench1992,Lakonishok,Shleifer,andVishny1994.)Ourgoalisabetterunderstandingofthesourcesofthisdifferenceinaveragereturns.Returnsarecommonlybrokenintotwocomponents,dividends(Dt+1/Pt)andcapitalgains(Pt+1/Pt).(1)1+Rt+1=Dt
6、+/Pt+Pt+1/Pt.Foramorecompleteunderstandingofthehigheraveragereturnsofvaluestocks,weexaminethedifferentsourcesofcapitalgains.Inourinitialtestswebreakthecapitalgainreturn(Pt+1/Pt)intotwopieces.Thefirstisthegrowthrateofbookequityduetoreinvestmentofearnings.Thissourceofcapitalgainfollowsfromthedivid
7、endirrelevancetheoremofMillerandModigliani(1961).Specifically,anadditionaldollaroftimet+1earningsreinvestedratherthanpaidoutasdividendsshouldresultinanadditionaldollarofcapitalvalueforoldshareholdersatt+1.Breakingthegrowthra
