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- W3124259423 endingPage "194" @default.
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- W3124259423 abstract "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." @default.
- W3124259423 created "2021-02-01" @default.
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- W3124259423 date "2005-10-28" @default.
- W3124259423 modified "2023-10-16" @default.
- W3124259423 title "Explaining Returns with Cash-Flow Proxies" @default.
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- W3124259423 doi "https://doi.org/10.1093/rfs/hhj001" @default.
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