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초록
영어
We study a continuous-time pure exchange economy where idiosyncratic cash flow risks are priced via investors’ heterogeneous beliefs. Investors perceive idiosyncratic cash flow risks differently through heterogeneous subjective mean growth rates on a firm’s cash flow. This impacts equilibrium quantities. Our model shows that idiosyncratic cash flow shocks priced through belief differences can explain cross-sectional variations in stock returns and cash flows. Quantitative results show that a value premium arises, as value stocks have higher idiosyncratic cash-flow volatilities, lower average cash flows, and higher belief differences, which is empirically supported. A growth premium prevails without belief differences.
목차
ABSTRACT
I. Introduction
II. The Economy
A. Cash Flow Modeling
B. Belief Difference
C. Investor Preference
D. Equilibrium
III. Theoretical Results
IV. Quantitative Analysis
A. Data
B. Calibrated Parameters
C. Estimation Results of Cash Flow Processes
D. Simulation Results
E. Value or Growth? Role of Belief Differences
V. Conclusions
REFERENCES
Appendix
I. Introduction
II. The Economy
A. Cash Flow Modeling
B. Belief Difference
C. Investor Preference
D. Equilibrium
III. Theoretical Results
IV. Quantitative Analysis
A. Data
B. Calibrated Parameters
C. Estimation Results of Cash Flow Processes
D. Simulation Results
E. Value or Growth? Role of Belief Differences
V. Conclusions
REFERENCES
Appendix
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