| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14117 |
| DP14117 Cash Flow News and Stock Price Dynamics | |
| Davide Pettenuzzo; Riccardo Sabbatucci; Henry Allan Timmermann | |
| 发表日期 | 2019-11-12 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We develop a new approach to modeling dynamics in cash flow data extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly significant predictor of future growth in dividends and consumption. Using a log-linearized present value model, we show that news about the persistent dividend growth component helps predict stock returns consistent with asset-pricing constraints implied by this model. News about the daily dividend growth process also helps explain concurrent return volatility and the probability of jumps in stock returns. |
| 主题 | Financial Economics |
| 关键词 | High-frequency cash flow news Dividend growth Present value model |
| URL | https://cepr.org/publications/dp14117 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543005 |
| 推荐引用方式 GB/T 7714 | Davide Pettenuzzo,Riccardo Sabbatucci,Henry Allan Timmermann. DP14117 Cash Flow News and Stock Price Dynamics. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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