Idiosyncratic Cash Flows and Systematic Risk
研究发现未定价的特质性现金流冲击能预测未来定价风险，解释了账面市值比和规模异象，以及特质波动与股票收益的负相关关系。
ABSTRACT We show that unpriced cash flow shocks contain information about future priced risk. A positive idiosyncratic shock decreases the sensitivity of firm value to priced risk factors and simultaneously increases firm size and idiosyncratic risk. A simple model can therefore explain book‐to‐market and size anomalies, as well as the negative relation between idiosyncratic volatility and stock returns. Empirically, we find that anomalies are more pronounced for firms with high idiosyncratic cash flow volatility. More generally, our results imply that any economic variable correlated with the history of idiosyncratic shocks can help to explain expected stock returns.