The cash conversion cycle spread

• 成果类型: Article
• 署名作者: Wang, Baolian
• 署名单位: State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.02.008
• 发表日期: 2019
• 页码: 472-497
• 关键词: Cash conversion cycle; stock returns; Intermediary asset pricing

摘要

The cash conversion cycle (CCC) refers to the time span between the outlay of cash for purchases to the receipt of cash from sales. It is a widely used metric to gauge the effectiveness of a firm's management and intrinsic need for external financing. This paper shows that a zero-investment portfolio that buys the lowest CCC decile stocks and shorts the highest CCC decile stocks earns 5%-7% alphas per year. The CCC effect is prevalent across industries, remains even for large capitalization stocks, distinct from the known return predictors, and cannot be explained by the financial intermediary leverage risk. (C) 2019 Elsevier B.V. All rights reserved.