What Drives Firm - Level Stock Returns ?  

Oleh:

Vuolteenaho, Tuomo

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 1 (2002), page 233-264.
Topik: stock returns; discount rates; cash flow; studies; stock
Fulltext: p 233.pdf (396.19KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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I use a vector autoregression model (VAR) to decompose an individual firm's stock return into two components (i. e. expected - return news). The VAR yields three main results. First, firm - level stock returns are mainly driven by cash -flow news. For a typical stock, the variance of cash - flows news is more than twice that of expected - return news. Second, shocks to expected returns news series are highly correlated across firms, while cash - flow news can largely be diversified away in aggregate portfolio.

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