Cash Flow, Consumption Risk, and the Cross-section of Stock Returns

• 成果类型: Article
• 署名作者: Da, Zhi
• 署名单位: University of Notre Dame
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01453.x
• 发表日期: 2009
• 页码: 923-956
• 关键词: ASSET PRICING MODEL; long-run; earnings management; EQUITY-DURATION; substitution; valuation; Dividends; premium; options

摘要

I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the period 1964 to 2002. This finding highlights the importance of fundamental cash flow characteristics in determining the risk exposure of an asset.