Aggregate corporate savings, economic uncertainty, and future stock returns

• 成果类型: Article
• 署名作者: Lyu, Yuanzhen
• 署名单位: Peking University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104329
• 发表日期: 2026-09
• 页码: 104329
• 关键词: Aggregate corporate savings; Economic uncertainty; Future stock market returns; Aggregate accruals; Cash holdings; INVESTMENT; accruals; FLOWS; predictability; RISK

摘要

I document robust U.S. and international evidence that aggregate corporate cash savings negatively forecast future excess market returns, with economic uncertainty an important driver of this relation. In a calibrated neoclassical dynamic model featuring precautionary savings, I show that fixed financing costs, firm exit, and an uncertainty-driven time-varying price of risk are crucial to replicating this return predictability. The model further implies that the well-known positive return predictive power of aggregate accruals is largely attributable to aggregate cash savings, and the data support this implication.