What Drives Stock Price Movements?

被引：101

作者：

Chen, Long

Da, Zhi ^{[1
]}

Zhao, Xinlei ^{[2
]}

机构：

[1] Univ Notre Dame, Mendoza Coll Business, Notre Dame, IN 46556 USA

[2] Kent State Univ, Kent, OH USA

来源：

REVIEW OF FINANCIAL STUDIES | 2013年 / 26卷 / 04期

关键词：

G12; E44; ANALYSTS EARNINGS FORECASTS; VARIANCE DECOMPOSITION; INFORMATION-CONTENT; IMPLIED COST; LONG-RUN; RETURN; PREDICTABILITY; EXPECTATIONS; EXPLANATION; DIVIDENDS;

D O I：

10.1093/rfs/hht005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A central issue in finance is whether stock prices move because of revisions in expected cash flows or discount rates, and by how much of each. Using direct cash flow forecasts, we show that stock returns have a significant cash flow news component whose importance increases with the investment horizon. For horizons over two years, cash flow news is more important. These conclusions hold at both the firm and aggregate levels, and diversification plays a secondary role in affecting the relative importance of cash flow and discount rate news. Our findings highlight the importance of cash flows in asset pricing.

引用

页码：841 / 876

页数：36

共 57 条

[1] TESTS OF ANALYSTS OVERREACTION UNDERREACTION TO EARNINGS INFORMATION AS AN EXPLANATION FOR ANOMALOUS STOCK-PRICE BEHAVIOR [J].