Risk and the cross section of stock returns

• 成果类型: Article
• 署名作者: Burlacu, Radu; Fontaine, Patrice; Jimenez-Garces, Sonia; Seasholes, Mark S.
• 署名单位: Hong Kong University of Science & Technology; Universite de Lorraine; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.03.008
• 发表日期: 2012
• 页码: 511-522
• 关键词: Risk premiums; Cross-sectional asset pricing; REE models

摘要

This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to explain the cross section of returns in theoretical, numerical, and empirical analyses. Using Center for Research in Security Prices data, we show that a -1 sigma to +1 sigma change in our variable is associated with a 0.31% difference in average returns the following month (equaling 3.78% per annum). The results are statistically significant at the 1% level. Our results remain economically and statistically significant after controlling for stocks' market capitalizations, book-to-market ratios, liquidities, and the probabilities of information-based trading. (C) 2012 Elsevier B.V. All rights reserved.