Excess Cash and Stock Returns
研究发现公司持有超额现金越多，未来股票回报越高，高低超额现金组合的年回报差达5%，经风险调整后为6%。超额现金公司投资更多但盈利能力未增强，表明超额现金可能代表高风险增长期权。
I document a positive relationship between corporate excess cash holdings and future stock returns. The difference in returns of portfolios of high and low excess cash firms amounts to 5% annually or 6% after standard three‐factor risk adjustment. Firms with more excess cash have higher market betas and earn lower returns during market downturns. High excess cash companies invest considerably more in the future than do their low cash peers, but do not experience stronger future profitability. On the whole, this evidence is consistent with the notion that excess cash holdings proxy for risky growth options.