Consumption, Dividends, And The Cross Section of Equity Returns  

Oleh:

Dittmar, Robert F. ; Bansal, Ravi ; Lundblad, Christian

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 4 (Aug. 2005), page 1639-1672.
Topik: CASH FLOW; studies; regression analysis; monte carlo simulation; mathematicla models; risk assessmen; rates of return; discounted cash flow
Fulltext: p 1639.pdf (218.61KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We show that aggregate consumption risks embodied in cash flows can account for the puzzling differences in risk premia across book - to - market, momentum, and size - sorted portfolios. The dynamics of aggregate consumption and cash flow growth rates, modeled as a vector autoregression, are used to measure the consumption beta of discounted cash flows. Differences in these cash flow betas account for more than 60% of the cross - sectional variation in risk premia. The market price for risk in cash flows in highly significant. We argue that cash flow risk is important for interpreting differences in risk compensation across assets.

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