Tradable aggregate risk factors and the cross-section of stock returns

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dc.contributor.authorRUY MONTEIRO RIBEIRO
dc.contributor.authorDoskov, Nikolay
dc.contributor.authorPekkala, Tapio
dc.coverage.paisNão Informadopt_BR
dc.creatorDoskov, Nikolay
dc.creatorPekkala, Tapio
dc.date.accessioned2022-12-07T17:47:30Z
dc.date.available2022-12-07T17:47:30Z
dc.date.issued2014
dc.description.notesTexto completopt_BR
dc.description.otherWe show that value and small stocks have higher expected returns due to their exposure to a factor linked to dividend growth and its risk premium – a dividend growth factor constructed using dividend swap data. Hence, growth risks are the only source of their risk premia. We show that the equity market portfolio is a combination of several risk factors and only one of these factors is priced in the cross-section of size- and value-sorted portfolios. CAPM beta does a poor job in explaining the cross section of size and book-to-market portfolios because it is a biased measure of the priced beta, as the market is a combination of a priced factor – a dividend growth factor – and additional correlated factors that are not priced in the cross-section of size- and value-sorted portfolios. Our results imply that only dividend growth news and/or expected return news associated with dividend growth matter in this cross-section, while other cash flow news (for instance, level of dividends) and other expected returns news (for instance, changes in government bond yields) do not matter. We find that a dividend level factor is also priced in the cross-section of other portfolios (sorted on dividend yield, earnings yield and cash-flow-to-price). Results are robust to the inclusion of other tradable aggregate factors such as bond returns, inflation breakeven returns, implied volatility returns as well as credit risk, banking sector risk, and liquidity risk factors.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4838
dc.language.isoInglêspt_BR
dc.language.otherPortuguêspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsNão informadopt_BR
dc.titleTradable aggregate risk factors and the cross-section of stock returnspt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR
relation.isAuthorOfPublication252786e6-ae76-41a8-8878-1c71bc135f79
relation.isAuthorOfPublication.latestForDiscovery252786e6-ae76-41a8-8878-1c71bc135f79

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