Cash-Flow or Discount-Rate Risk? Evidence from the Cross Section of Present Values

2013 ◽  
Author(s):  
Bingxu Chen
Keyword(s):  
Cross Section ◽  
Cash Flow ◽  
Discount Rate ◽  
Rate Risk ◽  
The Cross

scholarly journals Long-run cash flow and discount-rate risks in the cross-section of US returns

2010 ◽  
Vol 16 (3) ◽  
pp. 227-244 ◽  
Author(s):  
Michail Koubouros ◽  
Dimitrios Malliaropulos ◽  
Ekaterini Panopoulou
Keyword(s):  
Cross Section ◽  
Cash Flow ◽  
Discount Rate ◽  
Long Run ◽  
The Cross

Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach

2018 ◽  
Vol 08 (03) ◽  
pp. 1850002
Author(s):  
Ehab Yamani ◽  
David Rakowski
Keyword(s):  
Cash Flow ◽  
Discount Rate ◽  
Systematic Risk ◽  
Downside Risk ◽  
Expected Returns ◽  
Financing Constraints ◽  
Rate Risk ◽  
Market State ◽  
Risk Approach ◽  
High Investment

We examine whether sensitivities to cash flow and discount rate risk in down markets explain the investment effect, in which low-investment stocks earn higher expected returns than high-investment stocks. We show how productivity and financing constraints asymmetrically impact the systematic risk of low-investment and high-investment firms, conditional on market state. Our evidence is consistent with both productivity constraints and financing constraints as explanations for the investment effect, but, contrary to expectations, more when prices are rising than falling.

Common Ownership in America: 1980–2017

2021 ◽  
Vol 13 (3) ◽  
pp. 273-308
Author(s):  
Matthew Backus ◽  
Christopher Conlon ◽  
Michael Sinkinson
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Cash Flow ◽  
Historical Perspective ◽  
Common Ownership ◽  
Dramatic Rise ◽  
The Common ◽  
The Cross ◽  
Cash Flow Rights ◽  
And Control

We empirically assess the implications of the common ownership hypothesis from a historical perspective using the set of S&P 500 firms from 1980 to 2017. We show that the dramatic rise in common ownership in the time series is driven primarily by the rise of indexing and diversification and, in the cross section, by investor concentration, which the theory presumes to drive a wedge between cash flow rights and control. We also show that the theory predicts incentives for expropriation of undiversified shareholders via tunneling, even in the Berle and Means (1932) world of the widely held firm. (JEL D22, G32, G34, L21, L25)

scholarly journals Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?

2012 ◽  
Vol 47 (6) ◽  
pp. 1279-1301 ◽  
Author(s):  
Mahmoud Botshekan ◽  
Roman Kraeussl ◽  
Andre Lucas
Keyword(s):  
Cash Flow ◽  
Discount Rate ◽  
Predictive Ability ◽  
Decomposition Methods ◽  
Return Decomposition ◽  
Rate Risk ◽  
Related Risk ◽  
Out Of Sample ◽  
Asymmetric Preferences ◽  
Cash Flow Risk

AbstractWe test whether asymmetric preferences for losses versus gains affect the prices of cash flow versus discount rate risk. We construct a return decomposition distinguishing cash flow and discount rate betas in up and down markets. Using U.S. data, we find that downside cash flow and discount rate betas carry the largest premia. Downside cash flow risk is priced consistently across different samples, periods, and return decomposition methods. It is the only component of beta with significant out-of-sample predictive ability. Downside cash flow premia mainly occur for small stocks, while large stocks are compensated for symmetric cash-flow-related risk.

Do Firms Manage Their Credit Ratings? Evidence from Rating-Based Contracts

2018 ◽  
Vol 32 (4) ◽  
pp. 163-183 ◽  
Author(s):  
Xia (Eliza) Zhang
Keyword(s):  
Cross Section ◽  
Cash Flow ◽  
Credit Ratings ◽  
Financial Statement ◽  
Loan Contracts ◽  
Rating Agency ◽  
Accruals Management ◽  
The Cross ◽  
Jel Classifications

SYNOPSIS This paper examines whether firms with rating-based performance-priced loan contracts (PPrating firms) manage cash flow from operations (CFO) and accruals to obtain better firm credit ratings. I find that for PPrating firms, both CFO management and accruals management, are positively associated with firm credit ratings. In the cross-section, the relation of CFO management and accruals management with firm ratings is less pronounced when there is a larger benefit associated with inflated firm ratings. These results support the view that financial statement manipulation helps PPrating firms achieve more favorable ratings; when these firms are subject to more stringent rating-agency monitoring, such manipulation proves less effective. JEL Classifications: G18; G20; G28.

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

2016 ◽  
Vol 62 (9) ◽  
pp. 2504-2519 ◽  
Author(s):  
Mike Qinghao Mao ◽  
K. C. John Wei
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Cash Flow ◽  
The Cross ◽  
Cash Flow News
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