Style timing: Value versus growth. Is value dead?

Journal of Portfolio Management

Volumn 26, Issue 3, 2000, Pages 50-60

  Asness, Clifford S ^a   Friedman, Jacques A ^b   Krail, Robert J ^b   Liew, John M ^b  

^a AQR Capital Management LLC   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034147016     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2000.319724     Document Type: Article

References (11)

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3. Bernstein, R. Style Investing: Unique Insight into Equity Management. New York: John Wiley & Sons, 1995.
4. Capaul, C., I. Rowley, and W. Sharpe. "International Value and Growth Stock Returns." Financial Analysts Journal, 50 (1993) pp 27-36.
5. Fama, E. and K. French. "Common Risk Factor, in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), pp. 3-56.
6. _. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47 (1992), pp. 427-465.
7. Fan, S. "Equity Style Timing and Allocation." In R. Klein and J. Lederman, eds., Equity Style Management. Chicago: Irwin, 1995.
8. Gordon, M. The Investment, Financing, and Valuation of the Corporation. Homewood, IL: Irwin Publishing, 1962, Ch. 4.
9. Kao, D., R. Shumaker. "Equity Style Timing." Financial Analysts Journal, 55 (1999), pp. 37-48.
10. Lakonishok, J., A. Shleifer, and R. Vishny. "Contrarian Investment, Extrapolation, and Risk." Journal of Finance, 49 (1994), pp. 1541-1578.
11. Sorensen E., and C. Lazzara. "Equity Style Management: The Case of Growth and Value." In R. Klein and J. Lederman, eds., Equity Style Management. Chicago: Irwin, 1995.