Asset Pricing Implications of Firms’ Government Sales Dependency

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2022-04-26 DOI:10.1093/rapstu/raac011

Bharat Raj Parajuli

引用次数: 0

Abstract

This paper investigates the firm-level, asset pricing implications of government expenditures. Higher government sales dependency (GD), unconditional on political partisanship cycles, significantly predicts positive future returns, and a GD-weighted portfolio substantially improves the tangency portfolio’s ex post Sharpe ratio. Conditionally, the results are stronger during Republican presidencies. Higher returns do not stem from political connections or political and regulatory risks. The underlying economic channel is higher expected cash flow from increased profitability. Atypical provisions of government contracts and information asymmetry likely drive higher profit margins. A risk versus a mispricing analysis elicits more convincing evidence for mispricing as an explanation for abnormal returns.

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企业对政府销售依赖的资产定价含义

本文从企业层面考察政府支出对资产定价的影响。更高的政府销售依赖(GD)，无条件地依赖于政治党派周期，显著地预示着正的未来回报，并且gdp加权投资组合大大提高了切线投资组合的后夏普比率。有条件的是，在共和党总统任期内，结果更为强劲。更高的回报并非源于政治关系或政治和监管风险。潜在的经济渠道是盈利能力增加带来的更高的预期现金流。政府合同的非典型条款和信息不对称可能会推高利润率。风险与错误定价分析引出了更有说服力的证据，证明错误定价可以解释异常收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.