Contingent-Claim-Based Expected Stock Returns

Autor: Marcel Prokopczuk, Ravindra Vadali Sastry, Stephan Siegel, Wayne E. Ferson, Nan Li, Chris Brooks, Vito D. Gala, Rajnish Mehra, Christopher A. Hennessy, Jeffrey Zwiebel, Chris Juilliard, Zhiyao Chen, Stefan Nagel, Ilya A. Strebulaev, Kathy Yuan, Andrea Gamba, Stavros Panageas, Michael S. Roberts
Rok vydání: 2012
Předmět:
Zdroj: SSRN Electronic Journal.
ISSN: 1556-5068
DOI: 10.2139/ssrn.2018320
Popis: We develop and test a parsimonious contingent claims model for cross-sectional returns of stock portfolios formed on market leverage, book-to-market equity, asset growth rate, and equity size. Since stocks are residual claims on firms' assets that generate operating cash flows, stock returns are cash flow rates scaled by the sensitivities of stocks to cash flows. Our model performs well because the stock-cash flow sensitivities contain economic information. Value stocks, high-leverage stocks and low-asset-growth stocks are more sensitive to cash flows than growth stocks, low-leverage stocks and high-asset-growth stocks, particularly in recessions when default probabilities are high.
Databáze: OpenAIRE