CORDIS Project
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This project analyzes the relationship between expected stock returns and factors like earnings forecast dispersion, idiosyncratic volatility, and credit risk within a rational economic framework. It reveals that higher cash flow duration correlates with lower systematic risk, explaining why firms with high volatility…
This research project attempts to resolve puzzling relations in the cross section of expected stock returns within a rational equilibrium framework.
In particular, empirical work shows that expected stock returns are negatively correlated, both statistically and economically, with firm-level (i) dispersion in analysts' earnings forecasts, (ii) idiosyncratic volatility, and (iii) credit risk.
Such negative relations are apparently at odds with the important concept that systematic risk should alw…
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