Do Cash Flows of Growth Stocks Really Grow Faster?
60 Pages Posted: 3 Aug 2011 Last revised: 13 Nov 2016
Date Written: November 10, 2016
Contrary to conventional wisdom, growth stocks (low book-to-market stocks) do not have substantially higher future cash-flow growth rates than value stocks, in both rebalanced and buy-and-hold portfolios. The efficiency growth, survivorship and look-back biases, and rebalancing effect help explain the results. This finding suggests that duration alone is unlikely to explain the value premium.
The Internet Appendix for this paper may be found at http://ssrn.com/abstract=2868277.
JEL Classification: G12
Suggested Citation: Suggested Citation