Campbell, John Y.; Giglio, Stefano; Polk, Christopher - 2023
Value investing delivers volatile returns, with large draw-downs both in periods of strong stock market performance … such as the technology boom of the late 1990s, and in stock market downturns such as the global financial crisis of 2008 … aggregate stock market, shocks to the discount rates applied to those cash flows, and shocks to the variance of aggregate market …