英国留学生:价值是否比增长风险更大

英国留学生:价值是否比增长风险更大

市场效率的狂热者认为,价值溢价应该是投资者承担基本风险的结果。行为学家一直认为,价值会带来更好的表现,因为投资者最终会犯错误,比如为增长支付过高的费用(Montier, 2009, p. 57)。许多研究人员研究了成长型和价值型股票的相对风险。有人认为基于时间变化的风险接近于解释价值溢价的正确方向(Gubellini, 2011)。参考这一观点,本文的目的是讨论价值是否比增长风险更大。将对实证证据进行批判性评价,对该陈述进行讨论,以证明本文所设定的主要论点。现代金融的一个里程碑是风险和回报之间的联系。在这种观点下,人们很好地接受了增长型股票的回报率低于价值型股票的观点。关键的解释是时间变化带来的风险(Fernandez, 2004)。这种时变风险描述了价值扣除增长的策略在危机期间的风险很高。


英国留学生:价值是否比增长风险更大
在危机期间,预期的风险溢价很高。另一方面,在有利的经济条件下,风险溢价较低,而预期的风险溢价较低。然而,许多研究表明,风险不能被认为是产生价值溢价的有用来源(Zhang, 2005a)。Lakonishok等人(1994)报道说,在经济景气时期,贝塔值比经济增长贝塔值高,但在经济危机时期则低。这一结果与风险假说存在直接矛盾(Lakonishok, 2004)。增长和价值已被确定为金融领域的突出标签。这些被称为基于风格的投资,用于购买成长型股票(高倍数)和价值型股票(低倍数)的企业,尽管这些标签有时被称为高价对帐面价值的购买和低价对帐面价值的购买(Coxe, 2002)。在历史事件中,价值往往在平均基础上跑赢增长,但伴随着风险,这一点得到了突显。一个有价值的头寸最终可能对投资者不利。

英国留学生:价值是否比增长风险更大

It has been argued by the zealots of market efficiency that value premium should be the result of fundamental risk taken by investors. It has been argued by behaviourists that value delivers outperformance, as investors end up making mistakes such as overpayment for growth (Montier, 2009, p. 57). A number of researchers have studied the relative risk of growth and value stocks. It has been claimed that risk on the basis of time variation approaches the right direction to explain value premium (Gubellini, 2011). In reference with this statement, the aim of this essay is to discuss whether value is riskier than growth. A critical evaluation of empirical evidence will be conducted for discussion of the statement to prove the main thesis set for the paper. One of the landmarks in modern finance is the nexus between risk and return. Under this claim, there is a good acceptance of the claim that growth stocks present lower returns than value stock. The key explanation is risk due to variation of time (Fernández, 2004). This time-varying risk depicts that risk of strategies in which value deducts growth is high during crisis.


英国留学生:价值是否比增长风险更大
During crisis, the premium for risk expected is high. On the other hand, it is low during favourable economic conditions, while the premium for risk expected is low. However, it has been suggested by a number of studies that risk cannot be considered as a useful source for the generation of value premium (Zhang, 2005a). It had been reported by Lakonishok et al. (1994) that value betas are higher in comparison with growth betas during favourable times but are lower during crisis. This is a result which has direct contradiction with the hypothesis of risk (Lakonishok, 2004). Growth and value have been identified as prominent labels within the dimensions of finance. These are referred to as making style- based investment for purchasing business firms with growth stock (high multiples) versus value stock (low multiples), even though these labels are referred to as the purchases of high price to book versus low price to book at times (Coxe, 2002). It has been highlighted in historical events that value tends to be outperforming growth on average basis, but with the involvement of risk. A position of value can end up turning against the investor.

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