Croce, Mariano M.; Lettau, Marin; Ludvigson, Sydney - Society for Economic Dynamics - SED - 2006
is considerably shorter than that of growth stocks. We show that when investors can fully distinguish short- and long-run … consumption risk components of dividend growth innovations, only exposure to long-run consumption risk generates significant risk … (limited information), exposure to short-run risk can generate large risk premia, implying that value stocks become short …