Value Versus Growth: Movements in Economic Fundamentals
Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)
Simon School Working Paper No. FR 05-10
AFA 2006 Boston Meetings Paper
We conduct a comprehensive study of the cyclical movements in economic fundamentals for value and growth firms. We document that the fundamentals of value firms are more adversely affected by negative business cycle shocks than those of growth firms. The differential response between value and growth firms is mostly significant. We also present some evidence suggesting that lack of flexibility in capital investment underlies the more cyclical behavior of value firms.
Number of Pages in PDF File: 35
Keywords: Value, growth, economic fundamentals, business cycles, VAR
JEL Classification: E44, G12, G14
Date posted: November 13, 2005
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