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chen · 2022年08月27日

成长股和价值股

  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.

这道题考点在原版书第几页呢？不是很明白考点是想考什么


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2 个答案

Kiko_品职助教 · 2022年08月29日

嗨，努力学习的PZer你好：


题干的意思是：价值型股票的历史表现好于成长型股票不是异常现象，以下选项哪个不是原因？

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，这种return不是异常现象。正确

C选项当采用三因素的资产定价模型时偏差会消失。三因素定价模型（这个我们会在二级里学到）中两个factor 一个是value，一个是size，这个value factor体现的就是价值型股票表现好于成长性股票的一个风险因子。不同的定价模型会算出不同的收益率，这种偏差不是异常现象，会随着采用这种模型而消失。所以C也正确。

而B选项历史表现有较快增长率的公司就被视为良好的投资，预期回报高于风险特征。这其实说的是光环效应（halo effect），FMPs容易只关注他的增长率而不考虑其他的因素，导致成长性的股票被高估。这是一种对异常现象的行为心理学的解释。所以选择B

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努力的时光都是限量版，加油！

Kiko_品职助教 · 2022年08月28日

嗨，从没放弃的小努力你好：


这题考查的是行为金融如何影响市场行为 中的 市场异常现象这一知识点。Reading 52：原版书72页，对应基础班讲义147页。可以参考一下

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努力的时光都是限量版，加油！

chen · 2022年08月29日

参考不到呀，这道题想问什么呀？为什么b是对的？ a和c又怎么不对呢

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