small value stocks in best times. Combined with the fact that growth stocks have lower market risk than value stocks in bad … aggressively than growth stocks. This increase in selling pressure could make value stocks more sensitive to liquidity risk than …We study the liquidity exposures of value and growth stocks over business cycles. In worst times, value stocks have …

and risk in a unifying framework to explain the value and growth spread in the stock market. The conditional CAPM is a … equation, this paper derives the relationship among return, profit growth, and risk. We use three different risk metrics … proposed by Park and Fang (2021). We regress the value minus growth return on profit growth and risk variables to determine …