Working paper
Preference Shocks and Contemporaneous Cash Flow Risk
SSRN
04/27/2020
DOI: 10.2139/ssrn.3556534
Abstract
What drives the time variation in equity risk? I find that industries with high fundamentalcash-flow risk have a higher degree of time variation in excess returns, systematic risk premiaand risk-adjusted returns. I propose an asset-pricing model with agents exposed to preferenceshocks that can explain key asset-pricing patterns related to business cycle. My work suggeststhat, unlike a habit-formation model, a consumption-based model with preference shocks isuseful in determining how cash-flow risk drives the crossectional variation in the empiricaldistribution of risk and returns observed across US industries
Details
- Title: Subtitle
- Preference Shocks and Contemporaneous Cash Flow Risk
- Creators
- Petra Sinagl - University of Iowa
- Resource Type
- Working paper
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.3556534
- Number of pages
- 59 pages
- Language
- English
- Date posted
- 04/27/2020
- Date updated
- 03/03/2021
- Academic Unit
- Finance
- Record Identifier
- 9984380755702771
Metrics
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