The cash conversion cycle spread

被引：50
|
作者：
Wang, Baolian [1 ]
机构：
[1] Univ Florida, Warrington Coll Business, 314 Stuzin Hall, Gainesville, FL 32611 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2019年 / 133卷 / 02期
关键词：
Cash conversion cycle; Stock returns; Intermediary asset pricing; CROSS-SECTION; STOCK RETURNS; FINANCIAL DEPENDENCE; AVERAGE RETURNS; INVENTORY; ANOMALIES; INFORMATION; INVESTMENT; LIQUIDITY; EARNINGS;
D O I：
10.1016/j.jfineco.2019.02.008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The cash conversion cycle (CCC) refers to the time span between the outlay of cash for purchases to the receipt of cash from sales. It is a widely used metric to gauge the effectiveness of a firm's management and intrinsic need for external financing. This paper shows that a zero-investment portfolio that buys the lowest CCC decile stocks and shorts the highest CCC decile stocks earns 5%-7% alphas per year. The CCC effect is prevalent across industries, remains even for large capitalization stocks, distinct from the known return predictors, and cannot be explained by the financial intermediary leverage risk. (C) 2019 Elsevier B.V. All rights reserved.
引用
收藏
页码：472 / 497
页数：26
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