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四喜丸子 · 2023年08月21日

A选项

  1. CFA I
  2. Portfolio

NO.PZ2018101901000024

问题如下：

All of the following are reasons that the historical outperformance of value stocks versus growth stocks may not be anomalous except:

选项：

A.

Abnormal returns represent compensation for risk exposures, such as the heightened risk of value stocks to suffer distress during downturns.

B.

Companies with strong historical growth rates are viewed as good investments, with higher expected returns than risk characteristics merit.

C.

The deviation disappears by incorporating a three-factor asset pricing model.

解释：

B is correct.

This choice describes the halo effect, which does offer a behavioral explanation for the poor performance of growth stocks versus value stocks. Growth stocks are mispriced relative to their risk characteristics, because FMPs focusing on just a few properties, such as a high historical revenue growth rate, while neglecting other characteristics.

可以请老师解释一下A选项吗？


为什么在股价低迷的时候，价值股会面临更大的风险哈？



谢谢老师

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已采纳答案

Kiko_品职助教 · 2023年08月22日

嗨，努力学习的PZer你好：


A选项异常回报是对风险敞口的补偿，比如价值股在低迷时期会面临一个更高的风险。这句话是对的。

在经济不好的时候，人们对于股市的信心不足，会更偏向去做相对稳健的投资，而不是去投资风险大的股票。这时候如果要投资价值股，肯定要比在经济好的时候投资价值股要求一个更大的风险补偿。

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努力的时光都是限量版，加油！

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