TY - JOUR
T1 - Market-news co-moments and the cross section of stock returns
AU - Tavakoli Baghdadabad, Mohammadreza
AU - Mallik, Girijasankar
AU - Shankar, Sriram
PY - 2025
Y1 - 2025
N2 - We examine the asset-pricing implications of market-news co-moments by using shares listed on the U.S. stock market during 1928–2023. We find that firms with negative co-skewness (positive beta and co-kurtosis) of their market cash flows yield higher premia than otherwise comparable firms with positive co-skewness (negative beta and co-kurtosis) of their market cash flows. Our findings confirm that the market cash-flow beta, co-skewness and co-kurtosis premiums are priced in the U.S. market over and above what the market return, size, value, momentum, profitability and investment factors can explain. Our proposed cash-flow beta and co-skewness can predict realized cash-flow beta and co-skewness respectively. Further, our findings detect the potential sources of risk in stock returns that are reflected in the market cash-flow co-moments. Finally, we find low statistical and economic significance for our proposed discount-rate co-moments and the whammy shocks built by the market-news co-moments.
AB - We examine the asset-pricing implications of market-news co-moments by using shares listed on the U.S. stock market during 1928–2023. We find that firms with negative co-skewness (positive beta and co-kurtosis) of their market cash flows yield higher premia than otherwise comparable firms with positive co-skewness (negative beta and co-kurtosis) of their market cash flows. Our findings confirm that the market cash-flow beta, co-skewness and co-kurtosis premiums are priced in the U.S. market over and above what the market return, size, value, momentum, profitability and investment factors can explain. Our proposed cash-flow beta and co-skewness can predict realized cash-flow beta and co-skewness respectively. Further, our findings detect the potential sources of risk in stock returns that are reflected in the market cash-flow co-moments. Finally, we find low statistical and economic significance for our proposed discount-rate co-moments and the whammy shocks built by the market-news co-moments.
KW - Cash-flow news
KW - Discount-rate news
KW - Market news
KW - Risk co-moments
UR - http://www.scopus.com/inward/record.url?scp=85214121181&partnerID=8YFLogxK
UR - https://ezproxy.uws.edu.au/login?url=https://doi.org/10.1007/s10690-024-09511-5
U2 - 10.1007/s10690-024-09511-5
DO - 10.1007/s10690-024-09511-5
M3 - Article
AN - SCOPUS:85214121181
SN - 1387-2834
JO - Asia-Pacific Financial Markets
JF - Asia-Pacific Financial Markets
ER -