| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12597 |
| DP12597 Revealing Downturns | |
| Martin Schmalz | |
| 发表日期 | 2018-01-15 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable assets with low average cash flows and high loading on market risk perform similar to more desirable assets with high average cash flows and low market risk, rendering them difficult to distinguish. However, their relative fundamental performance diverges in downturns, enabling better inference. Consistent with these predictions, stocks' reaction to earnings news is up to 70% stronger in downturns than in upturns. |
| 主题 | Financial Economics |
| 关键词 | Earnings response Business cycle Asymmetry Bayesian learning |
| URL | https://cepr.org/publications/dp12597 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541408 |
| 推荐引用方式 GB/T 7714 | Martin Schmalz. DP12597 Revealing Downturns. 2018. |
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