Income Hedging, Dynamic Style Preferences, and Return Predictability
提出一个收入对冲需求的理论指标，发现其影响资产价格，尤其是价值因子，并能预测HML组合收益，利用该预测构建的投资组合年化风险调整收益达6%。
ABSTRACT We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value factor and first demonstrate that our demand estimates are correlated with the actual demands of retail and mutual fund investors. We then show that the aggregate high‐minus‐low (HML) demand predicts HML returns. Exploiting the state‐level variation in income risk, we demonstrate that state‐level hedging demands predict state‐level HML returns. A long‐short portfolio that exploits this hedging‐induced predictability earns an annualized risk‐adjusted return of 6%.