天风金工-海外文献推荐-第十期20170730-原文jf idiosyncratic cash flows and systematic risk肖琮.pdfVIP

THE JOURNAL OF FINANCE • VOL. LXXI, NO. 1 • FEBRUARY 2016 Idiosyncratic Cash Flows and Systematic Risk ILONA BABENKO, OLIVER BOGUTH, and YURI TSERLUKEVICH∗ ABSTRACT We show that unpriced cash flow shocks con n information about future priced risk. A positive idiosyncratic shock decreases the sensitivity of firm value to priced risk factors and simultaneously increases firm size and idiosyncratic risk. A simple model can therefore explain book-to-market and size anomalies, as