Journal of Finance, Volume 72, Issue 5, October 2017

成长型股票的现金流是否真的增长更快？

作者：Huafeng (Jason)

Chen (Tsinghua University)

摘要：与传统观点相反，成长型股票（账面市值比较低）的未来现金流增长率并不高于价值型股票，该结果无论是在再平衡策略还是在买入并持有策略中均存在。而效率增长、存活率和回望偏差以及再平衡效应有助于解释该结果。该研究表明，仅靠久期是无法解释价值溢价的。

Do Cash Flows of Growth Stocks Really Grow Faster?

Huafeng (Jason) Chen (Tsinghua University)

ABSTRACT

Contrary to conventional wisdom, growth stocks (i.e., 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. Efficiency growth, survivorship and look-back biases, and the rebalancing effect help explain the results. These findings suggest that duration alone is unlikely to explain the value premium.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12518/full

翻译：秦秀婷