文档介绍：Bad Beta, Good Beta
John Y. Campbell and Tuomo Vuolteenaho1
First draft: August 2002
This draft: September 2002
1 Department of Economics, Littauer Center, Harvard University, Cambridge MA 02138, USA,
and NBER. Email john_******@ and t_******@. We would like to
thank Randy Cohen, Antti Petajisto, Christopher Polk, and Sam Thompson for ments.
We grateful to Ken French for providing us with some of the data used in this study. All errors and
omissions remain our responsibility. Campbell acknowledges the financial support of the National
Science Foundation.
Abstract
This paper explains the size and value “anomalies” in stock returns using an
economically motivated two-beta model. We break the beta of a stock with the
market portfolio into ponents, one reflecting news about the market’s future
cash flows and one reflecting news about the market’s discount rates. Intertemporal
asset pricing theory suggests that the former should have a higher price of risk; thus
beta, like cholesterol, comes in “bad” and “good” varieties. Empirically, we find that
value stocks and small stocks have considerably higher cash-flow betas than growth
stocks and large stocks, and this can explain their higher average returns. The post-
1963 negative CAPM alphas of growth stocks are explained by the fact that their
betas are predominantly of the good variety.
JEL classification: G12, G14, N22
1 Introduction
According to the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner
(1965), a stock’s risk is summarized by its beta with the market portfolio of all invested
wealth. Controlling for beta, no other characteristics of a stock should influence its
expected return. It is well known that this model fails to describe the behavior of
stock returns since the early 1960’s. In particular, small stocks and value stocks have
delivered higher average returns than their betas can justify. Adding insult to injury,
stocks with high past b