Value or Growth? Pricing of Idiosyncratic Cash Flow Risk with Heterogeneous Beliefs
| dc.contributor | Kim, Hwagyun | |
| dc.creator | Jhang, Ho Gyu | |
| dc.date.accessioned | 2016-05-01T05:30:53Z | |
| dc.date.accessioned | 2017-04-07T20:09:24Z | |
| dc.date.available | 2016-05-01T05:30:53Z | |
| dc.date.available | 2017-04-07T20:09:24Z | |
| dc.date.created | 2014-05 | |
| dc.date.issued | 2014-05-05 | |
| dc.description.abstract | We study an equilibrium continuous-time 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 flows. This impacts equilibrium quantities. Our model shows that idiosyncratic cash flow shocks priced through belief differences can explain cross-sectional variation 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. | |
| dc.identifier.uri | http://hdl.handle.net/1969.1/152683 | |
| dc.language.iso | en | |
| dc.subject | idiosyncratic cash-flow risk | |
| dc.subject | heterogeneous beliefs | |
| dc.subject | general equilibrium | |
| dc.subject | cross- section of stock returns | |
| dc.subject | habit formation | |
| dc.subject | the value premium | |
| dc.title | Value or Growth? Pricing of Idiosyncratic Cash Flow Risk with Heterogeneous Beliefs | |
| dc.type | Thesis |