دانلود رایگان مقاله انگلیسی حق بیمه در بازده سهام بین المللی - اشپرینگر 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 lowcash 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 riskbased 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.

Conclusions

In this paper, we study the relation between corporate cash holdings and subsequent stock returns in the broad cross section of international firms drawn from 20 developed non-U.S. equity markets over the sample period from 1990 to 2016 with the aim to provide a useful out-of-sample analysis on the anomalous cash-return effect previously identified in the USA. First, similar to the prior U.S. evidence, we find a significantly positive cash-return relation in international equity markets. The outperformance of high-cash firms over low-cash firms is not captured by established crosssectional return determinants. The observed cash premium is robust to traditional controls based on firm size, book-tomarket, and momentum as well as to novel controls associated with operating profitability and investment. Second, analyzing how the cash-return relation varies with the firm’s financial characteristics, we observe that the cash premium is weaker among firms with high levels of debt. However, we do not find that the strength of the cash premium is related to the firm’s general level of cash. Thus, the cash-return effect is similarly present across the full spectrum of cash holdings. Third, given that investors may be subject to expectation errors concerning the impact of cash on the firm’s future performance, we finally pursue a behavioral mispricingbased explanation. Studying the cash-return relation conditional on mispricing, we find that the high returns of high-cash firms are due to undervalued high-cash firms, while the low returns of low-cash firms are due to overvalued low-cash firms. Among overvalued high-cash firms and undervalued low-cash firms, there exists no cash premium at all.