35 Pages Posted: 13 Nov 2005
Date Written: March 2005
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.
Keywords: Value, growth, economic fundamentals, business cycles, VAR
JEL Classification: E44, G12, G14
Suggested Citation: Suggested Citation
Xing, Yuhang and Zhang, Lu, Value Versus Growth: Movements in Economic Fundamentals (March 2005). Simon School Working Paper No. FR 05-10; AFA 2006 Boston Meetings Paper. Available at SSRN: https://ssrn.com/abstract=585745 or http://dx.doi.org/10.2139/ssrn.585745