"In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the … external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return …

In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. This paper … finds the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected …

In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the … external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return …