What is it about?
We find that cash-flow news alone explains the investment effect in the cross section of stock returns.
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Why is it important?
The findings are consistent with the expectational errors hypothesis and fail to support the risk-based explanation for the investment effect.
Perspectives
My main research interest area is empirical asset pricing, in particular the cross section of stock returns.
Prof. K.C. John WEI
Hong Kong Polytechnic University
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This page is a summary of: Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns, Management Science, September 2016, INFORMS,
DOI: 10.1287/mnsc.2015.2235.
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