Cash Flow, Consumption Risk, and the Cross‐section of Stock Returns
通过会计盈余和消费数据估计现金流的协方差和久期，构建两因子模型，解释了1964-2002年间规模、账面市值比和长期反转组合收益横截面差异的82%。
ABSTRACT I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two‐factor cash flow model and find that they are able to explain up to 82% of the cross‐sectional variation in the average returns on size, book‐to‐market, and long‐term reversal‐sorted portfolios for the period 1964 to 2002. This finding highlights the importance of fundamental cash flow characteristics in determining the risk exposure of an asset.