Cash Flow News and Stock Price Dynamics

• 成果类型: Article
• 署名作者: Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan
• 署名单位: Brandeis University; Stockholm School of Economics; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12901
• 发表日期: 2020
• 页码: 2221-2270
• 关键词: PREDICTIVE REGRESSIONS; volatility; INFORMATION; RISK; predictability; earnings; returns; POLICY

摘要

We develop a new approach to modeling dynamics in cash flows extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly significant predictor of future growth in dividends and consumption. Using a log-linearized present value model, we show that news about the persistent dividend growth component predicts stock returns consistent with asset pricing constraints implied by this model. News about the daily dividend growth process also helps explain concurrent return volatility and the probability of jumps in stock returns.