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1、AmericanEconomicAssociationBadBeta,GoodBetaAuthor(s):JohnY.CampbellandTuomoVuolteenahoReviewedwork(s):Source:TheAmericanEconomicReview,Vol.94,No.5(Dec.,2004),pp.1249-1275Publishedby:AmericanEconomicAssociationStableURL:http://www.jstor.org/stable/3592822.Accessed:04/12/20
2、1109:41YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jspJSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusted
3、digitalarchive.Weuseinformationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org.AmericanEconomicAssociationiscollaboratingwithJSTORtodigitize,preserveandextendaccesstoTheAmericanEconomic
4、Review.http://www.jstor.orgBadBeta,GoodBetaByJOHNY.CAMPBELLANDTUOMOVUOLTEENAHOThispaperexplainsthesizeandvalue"anomalies"instockreturnsusinganeconomicallymotivatedtwo-betamodel.Webreakthebetaofastockwiththemarketportfoliointotwocomponents,onereflectingnewsaboutthemarket's
5、futurecashflowsandonereflectingnewsaboutthemarket'sdiscountrates.Intertemporalassetpricingtheorysuggeststhattheformershouldhaveahigherpriceofrisk;thusbeta,likecholesterol,comesin"bad"and"good"varieties.Empirically,wefindthatvaluestocksandsmallstockshaveconsiderablyhigherc
6、ash-flowbetasthangrowthstocksandlargestocks,andthiscanexplaintheirhigheraveragereturns.Thepoorperformanceofthecapitalassetpricingmodel(CAPM)since1963isexplainedbythefactthatgrowthstocksandhigh-past-betastockshavepredomi-nantlygoodbetaswithlowriskprices.(JELG12,G14,N22)How
7、shouldarationalinvestormeasuretheparticular,smallstocksandvaluestockshaverisksofstockmarketinvestments?Whatdeter-deliveredhigheraveragereturnsthantheirbetasminestheriskpremiumthatwillinduceara-canjustify.Addinginsulttoinjury,stockswithtionalinvestortoholdanindividualstock
8、atitshighpastbetashavehadaveragereturnsnomarketweight,ratherthanoverweightingorhigherthanstockso
