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The cash premium in international stock returns
- Source :
- Journal of Asset Management. 19:3-12
- Publication Year :
- 2017
- Publisher :
- Springer Science and Business Media LLC, 2017.
-
Abstract
- The positive cash-return relation, previously found in the USA, is similarly present in international Europe, Australasia, and the Far East (EAFE) markets over the sample period 1990–2016. Across the 20 developed non-U.S. equity markets, high-cash firms outperform low-cash firms on average by 4.2% per year after controlling for firm size, book-to-market, momentum, operating profitability, and investment. Though the observed cash premium varies with the firm’s level of debt, a rational risk-based pricing view falls short of fully understanding the effect. Instead, the observed cash premium reflects price corrections arising from the reversal of investors’ expectation errors concerning the impact of cash on the firm’s future performance and is therefore the outcome of mispricing.
- Subjects :
- 040101 forestry
050208 finance
Information Systems and Management
Cash and cash equivalents
Financial economics
Strategy and Management
05 social sciences
04 agricultural and veterinary sciences
Cash flow forecasting
Cash conversion cycle
Operating cash flow
0502 economics and business
Economics
0401 agriculture, forestry, and fisheries
Cash flow statement
Price/cash flow ratio
Cash on cash return
Business and International Management
Cash management
Subjects
Details
- ISSN :
- 1479179X and 14708272
- Volume :
- 19
- Database :
- OpenAIRE
- Journal :
- Journal of Asset Management
- Accession number :
- edsair.doi...........23e1fbb0fd72912fbbc5ece165cb9a3f
- Full Text :
- https://doi.org/10.1057/s41260-017-0056-5