What drives firm-level stock returns?

• 成果类型: Article
• 署名作者: Vuolteenaho, T
• 署名单位: Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00421
• 发表日期: 2002
• 页码: 233-264
• 关键词: VARIANCE DECOMPOSITION; MARKET; earnings; RISK; prices; ratio; BIAS

摘要

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.