Koijen, Ralph; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012
Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal … bond risk premium measures cyclical variation in the market’s assessment of future output growth, this results in a value … risk premium provided that good news about future output lowers the marginal utility of wealth today. In support of this …