现金存续期、风险和对股票收益的影响

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-01 DOI:10.1016/j.frl.2025.106787

Roi D. Taussig

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引用次数: 0

摘要

本文分析了一种新的现金存续期计量方法。新的衡量标准是基于公司的现金持有量。现金存续期越长，意味着企业价值对企业所需回报的敏感性越高，因此也就意味着风险越高。对140,692个公司年度股票回报横截面观察的分析表明，现金存续时间越长的公司获得的股票回报越高。新措施的效果在统计和经济上都是显著的。此外，对于不同的样本内和样本外稳健性检验，效果是可持续的。这些新发现对研究人员和从业人员都有好处。

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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Cash duration, risk, and implications for stock returns

This study analyzes a new measure for Cash Duration. The new measure is based on the firm's cash holdings. Higher cash duration implies higher sensitivity of the firm's value to the firm's required return, and therefore, implies higher risk. An analysis of 140,692 firm-year observations from the U.S. cross-section of stock returns reveals that firms with higher cash duration earn higher stock returns. The effect of the new measure is both statistically and economically significant. Moreover, the effect is sustainable for diverse in-sample and out-of-sample robustness tests. The new findings can benefit researchers and practitioners alike.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance