Chase Ross Headshot

Chase P. Ross

Financial Economics Ph.D. Candidate
Yale University

chase.ross [at] yale.edu

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Cash-Hedged Stock Returns
with Landon J. Ross and Sharon Y. Ross, February 2020.


U.S. companies hold cash on their balance sheets, and the share of assets held in cash varies across companies and over time. A firm’s cash holding is an implicit position in a low-return asset, which pushes down a firm’s common stock return, and investors should thus hedge out the cash on the balance sheets when calculating equity returns. Failing to do so has implications for portfolio formation and optimization, asset pricing models, and trading strategy performance.