Return Decomposition

被引：147

作者：

Chen, Long ^{[1
]}

Zhao, Xinlei ^{[2
]}

机构：

[1] Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA

[2] Kent State Univ, Kent, OH USA

来源：

REVIEW OF FINANCIAL STUDIES | 2009年 / 22卷 / 12期

关键词：

G11; G12; BOOK-TO-MARKET; EXPECTED STOCK RETURNS; ASSET PRICING MODEL; VARIANCE DECOMPOSITION; TIME-SERIES; TERM STRUCTURE; VALUE PREMIUM; BOND MARKETS; VALUE SPREAD; CASH-FLOW;

D O I：

10.1093/rfs/hhp017

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A crucial issue in asset pricing is to understand the relative importance of discount rate (DR) news and cash flow (CF) news in driving the time-series and cross-sectional variations of stock returns. Many studies directly estimate the DR news but back out the CF news as the residual. We argue that this approach has a serious limitation because the DR news cannot be accurately measured due to the small predictive power, and the CF news, as the residual, inherits the large misspecification error of the DR news. We apply this residual-based decomposition approach to Treasury bonds and equities and find results that are either counterintuitive or unrobust. Potential solutions, including modeling both DR news and CF news directly, the Bayesian model averaging approach, and the principal component analysis, are explored.

引用

页码：5213 / 5249

页数：37

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