Estimation risk, information, and the conditional CAPM: Theory and evidence

被引：35

作者：

Kumar, Praveen ^{[1
]}

Sorescu, Sorin M. ^{[2
]}

Boehme, Rodney D. ^{[3
]}

Danielsen, Bartley R. ^{[4
]}

机构：

[1] Univ Houston, CT Bauer Coll Business, Houston, TX 77204 USA

[2] Texas A&M Univ, Mays Business Sch, College Stn, TX 77843 USA

[3] Wichita State Univ, Barton Sch Business, Wichita, KS 67260 USA

[4] N Carolina State Univ, Coll Management, Raleigh, NC 27695 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2008年 / 21卷 / 03期

关键词：

D O I：

10.1093/rfs/hhn016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model. Innovations in market volatility, oil prices, exchange rates, and dispersion of analysts' forecasts not only help explain the cross section of stock returns, but their influence depends on the stock's systematic estimation risk. Moreover, dividend and share repurchase initiations have significant downward announcement effects on estimated betas and their standard errors.

引用

页码：1037 / 1075

页数：39

共 65 条

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