THE JOURNAL OF FINANCE · VOL.71, ISSUE 1 · FEBRUARY 2016

异质现金流与系统性风险

作者：Pavel G. Savor, Mungo Ivor Wilson

摘要：本文证明了未定价的现金流冲击包含了有关未来定价风险的信息。正的异质冲击使得公司价值对风险定价因子的敏感性下降，同时也使得公司规模和异质风险增加。因此，我们建立了一个简单的模型对账面市值异象、规模异象以及股票收益和异质波动率的负相关性进行解释。通过实证分析，我们发现异质现金流波动率较高的公司异象更加明显。更一般地，我们的结果意味着任何与发生了异质冲击相关的经济变量均有助于解释预期股票收益。

关键词：异质冲击，异象，风险

Idiosyncratic Cash Flows and Systematic Risk

Ilona Babenko,Oliver Boguth, and Yuri Tserlukevich

ABSTRACT

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.

Keywords: Idiosyncratic Shock, Anomaly, Risk

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12280/full

翻译：任兆月