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- W2891751488 abstract "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." @default.
- W2891751488 created "2018-09-27" @default.
- W2891751488 creator A5037118562 @default.
- W2891751488 date "2001-04-01" @default.
- W2891751488 modified "2023-10-12" @default.
- W2891751488 title "What Drives Firm-Level Stock Returns?" @default.
- W2891751488 doi "https://doi.org/10.3386/w8240" @default.
- W2891751488 hasPublicationYear "2001" @default.
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