全球智库信息集成服务系统(G2TT): Explaining Returns with Cash-Flow Proxies

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w11169
来源ID	Working Paper 11169
	Explaining Returns with Cash-Flow Proxies
	Peter Hecht; Tuomo Vuolteenaho
发表日期	2005-03-07
出版年	2005
语种	英语
摘要	Stock returns are correlated with contemporaneous earnings growth, dividend growth, future real activity, and other cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of the popular specifications, variables that are motivated as proxies for cash-flow news also track a nontrivial proportion of one-period expected returns and expected-return news. As a result, the R2 from a regression of returns on cash-flow proxies may overstate or understate the importance of cash-flow news as a source of return variance.
主题	Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w11169
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/568806
推荐引用方式 GB/T 7714	Peter Hecht,Tuomo Vuolteenaho. Explaining Returns with Cash-Flow Proxies. 2005.

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
w11169.pdf（327KB）	智库出版物		限制开放	CC BY-NC-SA	浏览