Value-Growth Dynamics in Interest Rate Cycles
Research Paper
May 1, 2008
Preview
Are growth stocks truly more interest-rate sensitive, or "long-duration," than value stocks? We find that between 1985 and 2008 the MSCI Growth Index did have longer duration than the MSCI Value Index, and that this sensitivity was linked to a number of stock-level growth-related attributes including historical and predicted growth in earnings, recent earnings changes, and book-to-price.
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