NO.PZ2018101901000024
问题如下：
All of the following are reasons that the historical outperformance of value stocks versus growth stocks may not be anomalous except:
选项：
A. Abnormal returns represent compensation for risk exposures, such as the heightened risk of value stocks to suffer distress during downturns.
B. Companies with strong historical growth rates are viewed as good investments, with higher expected returns than risk characteristics merit.
C. The deviation disappears by incorporating a three-factor asset pricing model.
解释：
B is correct.
This choice describes the halo effect, which does offer a behavioral explanation for the poor performance of growth stocks versus value stocks. Growth stocks are mispriced relative to their risk characteristics, because FMPs focusing on just a few properties, such as a high historical revenue growth rate, while neglecting other characteristics.
A选项异常回报是对风险敞口的补偿，比如价值股在低迷时期会面临一个更高的风险。 这句话什么意思？
