Lettau, Martin; Wachter, Jessica - C.E.P.R. Discussion Papers - 2005
growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference … between value and growth stocks, we introduce a cross-section of long-lived firms distinguished by the timing of their cash …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks co-vary more with this …