What Drives Stock Price Movements?

• 成果类型: Article
• 署名作者: Chen, Long; Da, Zhi; Zhao, Xinlei
• 署名单位: University of Notre Dame; University System of Ohio; Kent State University; Kent State University Salem; Kent State University Kent
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht005
• 发表日期: 2013
• 页码: 841
• 关键词: ANALYSTS EARNINGS FORECASTS; variance decomposition; information-content; IMPLIED COST; long-run; return; predictability; expectations; explanation; Dividends

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.