Revealing Downturns
研究发现，当贝叶斯风险厌恶投资者对资产现金流系统性风险暴露不确定时，股价在经济下行期对新闻的反应比上行期更强，导致下行期波动率更高和收益负偏。
When Bayesian risk-averse investors are uncertain about their assets’ cash flows’ exposure to systematic risk, stock prices react to news more in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. In good times, less desirable assets with low average cash flows and high market risk perform similar to more desirable assets with high average cash flows and low market risk, rendering them difficult to distinguish. However, their performance diverges in downturns, enabling better inference. Consistent with these predictions, stocks’ reaction to earnings news is up to 70% stronger in downturns than in upturns. Received July 7, 2014; editorial decision March 20, 2018 by Editor Laura Starks. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.