The cross-section of equity returns and assets’ fundamental cash-flow risk

Atanasov, Victoria

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Document Type: Article
Year of publication: 2010
The title of a journal, publication series: Financial Markets and Portfolio Management
Volume: 24
Issue number: 4
Page range: 327-351
Place of publication: Heidelberg ; Norwell, MA [u.a.]
Publishing house: Springer
ISSN: 1934-4554 , 1555-497X
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 330 Economics
Abstract: The decomposition of consumption beta into a component driven by assets’ cash-flow news and one related to assets’ discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that differences in expected excess returns between low book-to-market and high book-to-market portfolios are associated with differences in their cash-flow betas, and thus reflect macroeconomic, especially consumption-related risks. This result holds true for a broad set of consumption-based asset pricing models. In addition, the results indicate that the risk premium on equity markets is primarily driven by the exposure of assets’ cash-flow components to the cyclical variability of durable consumption goods.
Additional information: Früherer Name: Victoria Galsband

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

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