Habit formation, the cross section of stock returns and the cash-flow risk puzzle

• 成果类型: Article
• 署名作者: Santos, Tano; Veronesi, Pietro
• 署名单位: Center for Economic & Policy Research (CEPR); University of Chicago; University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Columbia University; National Bureau of Economic Research; Columbia University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.05.003
• 发表日期: 2010
• 页码: 385-413
• 关键词: habit; VALUE PREMIUM; cross-section; Cash-flow risk

摘要

Non-linear external habit persistence models, which feature prominently in the recent equity premium asset pricing and macroeconomics literature, generate counterfactual predictions in the cross-section of stock returns. In particular, we show that in the absence of cross-sectional heterogeneity in firms' cash-flow risk, these models produce a growth premium, that is, stocks with high price-to-fundamental ratios command a higher premium than stocks with low price-to-fundamental ratios. This implication is at odds with the well-established empirical observation of a value premium in the cross-section of stock returns. Substantial heterogeneity in firms' cash-flow risk yields both a value premium as well as most of the stylized facts about the cross-section of stock returns, but it generates a cash-flow risk puzzle: Quantitatively, value stocks have to have too much cash-flow risk compared to the data to generate empirically plausible value premiums. (C) 2010 Elsevier B.V. All rights reserved.