Download this Paper Open PDF in Browser

Do Cash Flows of Growth Stocks Really Grow Faster?

60 Pages Posted: 3 Aug 2011 Last revised: 13 Nov 2016

Huafeng (Jason) Chen

Tsinghua University - PBC School of Finance

Date Written: November 10, 2016

Abstract

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

Chen, Huafeng (Jason), Do Cash Flows of Growth Stocks Really Grow Faster? (November 10, 2016). Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1903904 or http://dx.doi.org/10.2139/ssrn.1903904

Huafeng (Jason) Chen (Contact Author)

Tsinghua University - PBC School of Finance ( email )

No. 43, Chengdu Road
Haidian District
Beijing 100083
China

Paper statistics

Downloads
738
Rank
27,407
Abstract Views
2,660