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


Atanasov, Victoria



DOI: https://doi.org/10.1007/s11408-010-0140-z
URL: https://link.springer.com/article/10.1007/s11408-0...
Additional URL: https://www.researchgate.net/publication/225438034...
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: 1555-4961 , 1934-4554
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
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.




+ Citation Example and Export

Atanasov, Victoria (2010) The cross-section of equity returns and assets’ fundamental cash-flow risk. Financial Markets and Portfolio Management Heidelberg ; Norwell, MA [u.a.] 24 4 327-351 [Article]


+ Search Authors in

+ Page Views

Hits per month over past year

Detailed information



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item