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

異質現金流與系統性風險

作者：Pavel G. Savor, Mungo Ivor Wilson

摘要：本文證明了未定價的現金流沖擊包含了有關未來定價風險的信息。正的異質沖擊使得公司價值對風險定價因子的敏感性下降，同時也使得公司規模和異質風險增加。因此，我們建立了一個簡單的模型對賬面市值異象、規模異象以及股票收益和異質波動率的負相關性進行解釋。通過實證分析，我們發現異質現金流波動率較高的公司異象更加明顯。更一般地，我們的結果意味着任何與發生了異質沖擊相關的經濟變量均有助于解釋預期股票收益。

關鍵詞：異質沖擊，異象，風險

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

原文鍊接：

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

翻譯：任兆月