| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8240 |
| 来源ID | Working Paper 8240 |
| What Drives Firm-Level Stock Returns? | |
| Tuomo Vuolteenaho | |
| 发表日期 | 2001-04-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | I use a vector autoregressive model (VAR) to decompose an individual firm's stock return into two components: changes in cash-flow expectations (i.e., cash-flow news) and changes in discount rates (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-flow news is more than twice that of expected-return news. Second, shocks to expected returns and cash flows are positively correlated for a typical small stock. Third, expected-return-news series are highly correlated across firms, while cash-flow news can largely be diversified away in aggregate portfolios. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w8240 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565838 |
| 推荐引用方式 GB/T 7714 | Tuomo Vuolteenaho. What Drives Firm-Level Stock Returns?. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8240.pdf（317KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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