本研究是探討日本市場內價值股與成長股之風險和報酬的關係。我們同時運用事後及事前的方法來區分經濟狀態，這二種方法所得到的實證結果是相似的。我們發現均等加權與價值加權所得到的條件市場貝他在不同的經濟狀態是不一致的，這隱含以均等加權的價值成長投資組合與價值加權的價值成長投資組合在不同的經濟狀態有著不同的風險。均等加權的價值成長投資組合比較符合行為財務的觀點，沒有承擔隨著時間變動的風險和共變動風險；相反的，價值加權的價值成長投資組合比較不符合行為財務的觀點。最後在過度反應議題普遍被注意下，價值加權的價值成長投資組合的價值異常能被條件資本市場評價模型所解釋。 Our study measures the risk-return relation between value and growth portfolios in Japanese market. We use both ex-post and ex-ante methods to determine economic states and find that the empirical results from these two methods are similar. The results show that there are inconsistent conditional market betas in different economic states for equally weighted and value weighted value and growth portfolios. Specifically, the equally weighted HML portfolio and the value weighted HML portfolio face incoherent risks in dissimilar economic states, respectively. The results of equally weighted HML portfolio are more consistent with the view of behavioral finance, while the results of value weighted HML portfolio are less consistent. Finally, the value anomaly from the value weighted HML portfolio can be explained by conditional CAPM after the overreaction issue is prevalently noted.
