Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns

被引：10
|
作者：
Mao, Mike Qinghao [1 ]
Wei, K. C. John [2 ]
机构：
[1] Erasmus Univ, Dept Business Econ, NL-3062 PA Rotterdam, Netherlands
[2] Hong Kong Univ Sci & Technol, Dept Finance, Kowloon, Hong Kong, Peoples R China
来源：
MANAGEMENT SCIENCE | 2016年 / 62卷 / 09期
关键词：
investment effect; q-theory; cash-flow news; return decomposition; ASSET GROWTH; IMPLIED COST; TRADING ACTIVITY; EARNINGS; MARKET; RISK; INFORMATION; ANOMALIES; PROFITABILITY; DECOMPOSITION;
D O I：
10.1287/mnsc.2015.2235
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This study provides novel evidence that cash-flow news quantitatively explains the investment effect in the cross section of stock returns. The negative return predictability of asset growth, investment growth, and accruals is evident only through the cash-flow news component of returns. The cash-flow news returns associated with investment-sorted portfolios exhibit a reversal from the preformation period to the postformation period. Such a return reversal is in line with reversals in firm fundamentals and becomes stronger for stocks with higher information uncertainty. Our findings are consistent with the expectational errors hypothesis and fail to support the risk-based explanation for the investment effect.
引用
收藏
页码：2504 / 2519
页数：16
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