Estimation risk, information, and the conditional CAPM: Theory and evidence

• 成果类型: Article
• 署名作者: Kumar, Praveen; Sorescu, Sorin M.; Boehme, Rodney D.; Danielsen, Bartley R.
• 署名单位: University of Houston System; University of Houston; Texas A&M University System; Texas A&M University College Station; Mays Business School; Wichita State University; North Carolina State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn016
• 发表日期: 2008
• 页码: 1037
• 关键词: cross-section; DIVIDEND INITIATIONS; stock returns; differential information; EARNINGS INFORMATION; capital-market; portfolio; equilibrium; volatility; ANALYST

摘要

We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model. Innovations in market volatility, oil prices, exchange rates, and dispersion of analysts' forecasts not only help explain the cross section of stock returns, but their influence depends on the stock's systematic estimation risk. Moreover, dividend and share repurchase initiations have significant downward announcement effects on estimated betas and their standard errors.