What Drives Anomaly Returns?

• 成果类型: Article
• 署名作者: Lochstoer, Lars A.; Tetlock, Paul C.
• 署名单位: University of California System; University of California Los Angeles; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12876
• 发表日期: 2020
• 页码: 1417-1455
• 关键词: cross-section; stock returns; RISK; earnings; GROWTH; equilibrium; explanation; INVESTMENT; arbitrage; habit

摘要

We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their mean-variance efficient (MVE) combination. Whereas discount rate news predominates in market returns, systematic cash flow news drives the returns of anomaly portfolios and their MVE combination with the market portfolio. Anomaly cash flow and discount rate shocks are largely uncorrelated with market cash flow and discount rate shocks and with business cycle fluctuations. These rich empirical patterns restrict the joint dynamics of firm cash flows and the pricing kernel, thereby informing models of stocks' expected returns.