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- W3125082908 abstract "We develop and test a parsimonious contingent claims model for cross-sectional returns of stock portfolios formed on market leverage, book-to-market equity, asset growth rate, and equity size. Since stocks are residual claims on firms' assets that generate operating cash flows, stock returns are cash flow rates scaled by the sensitivities of stocks to cash flows. Our model performs well because the stock-cash flow sensitivities contain economic information. Value stocks, high-leverage stocks and low-asset-growth stocks are more sensitive to cash flows than growth stocks, low-leverage stocks and high-asset-growth stocks, particularly in recessions when default probabilities are high." @default.
- W3125082908 created "2021-02-01" @default.
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- W3125082908 date "2013-08-01" @default.
- W3125082908 modified "2023-09-27" @default.
- W3125082908 title "Contingent Claim-Based Expected Stock Returns" @default.
- W3125082908 hasPublicationYear "2013" @default.
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