Working paper
When does Cash-flow Risk Matter to Investors? Evidence from the COVID-19 Pandemic
SSRN
04/03/2020
DOI: 10.2139/ssrn.3566511
Abstract
I use the exogenous shock to aggregate consumption caused by the COVID-19 pandemic to examine the importance of cash-flow risk for investors. I find that the industry long-run cash-flow risk predicted which industries performed worst during the pandemic. High cash-flow risk industries experienced abnormally low excess returns and substantially higher risk levels during the first three months of 2020. I use dividend futures data to show that the equity term structure inverted and forward equity yields proliferated after mid-March 2020, which may explain the heightened relevance of cash-flow risk during the pandemic
Details
- Title: Subtitle
- When does Cash-flow Risk Matter to Investors? Evidence from the COVID-19 Pandemic
- Creators
- Petra Sinagl
- Resource Type
- Working paper
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.3566511
- Number of pages
- 45 pages
- Language
- English
- Date posted
- 04/03/2020
- Date updated
- 06/08/2020
- Academic Unit
- Finance
- Record Identifier
- 9984380644002771
Metrics
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