Idiosyncratic Cash Flows and Systematic Risk

• 成果类型: Article
• 署名作者: Babenko, Ilona; Boguth, Oliver; Tserlukevich, Yuri
• 署名单位: Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12280
• 发表日期: 2016
• 页码: 425-456
• 关键词: ASSET PRICE DYNAMICS; cross-section; stock returns; corporate-investment; VALUE PREMIUM; equilibrium; volatility; tests; INFORMATION; anomalies

摘要

We show that unpriced cash flow shocks contain information about future priced risk. A positive idiosyncratic shock decreases the sensitivity of firm value to priced risk factors and simultaneously increases firm size and idiosyncratic risk. A simple model can therefore explain book-to-market and size anomalies, as well as the negative relation between idiosyncratic volatility and stock returns. Empirically, we find that anomalies are more pronounced for firms with high idiosyncratic cash flow volatility. More generally, our results imply that any economic variable correlated with the history of idiosyncratic shocks can help to explain expected stock returns.