Whether there is a cash anomaly and what drives the cash–returns relationship are unclear. By constructing a cash risk factor, this study explores the cash–returns relationship and the mechanisms underlying it. We find that the cash factor is pervasive and captures co-movement in stock returns, indicating a significant cash–returns relationship. The factor loading cannot predict returns after controlling for the cash characteristic and has a negative relationship with the implied cost of capital. Also, the cash factor does not reflect future macroeconomic risk. These results are not consistent with rational capital asset pricing theories and cast doubts on the role of the risk explanation while supporting the role of the mispricing effect in the cash–returns relationship.

是否存在现金异常以及现金与回报关系的驱动因素尚不清楚。通过构建现金风险因素，本研究探讨了现金回报关系及其背后的机制。我们发现现金因素是普遍存在的，并且体现了股票回报的联动性，表明现金回报之间存在显着的关系。因子负载无法预测控制现金特征后的回报，并且与隐含资本成本呈负相关。此外，现金因素并不能反映未来宏观经济风险。这些结果与理性资本资产定价理论不一致，在支持错误定价效应在现金回报关系中的作用的同时，对风险解释的作用提出了质疑。