Does sensitivity to cashflow news explain the value premium on European stock markets?

Arbeitspapier

The decomposition of a European market return into cashflow and discount rate news components suggests that returns on European and country value portfolios react more sensitive to news about the European market return´s cashflows than the corresponding growth portfolios. This evidence is substantially weaker when the receptiveness of country value and growth returns to cashflow and discount rate news components of the respective national market return is in question. Moreover, I show that national news series are more important than international news series in explaining the variation in European value and growth returns. Even though European cashflow news play a marginally significant role in explaining returns on value portfolios, there is no persuasive evidence of the notion that high cashflow betas explain relatively high average returns on European countries´ value portfolios.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Technical Report ; No. 2006,12

Classification and Topics

• Classification: Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: cashflow and discount rate beta ; international stock markets ; value premium ; book-to-market factor

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Nitschka, Thomas
• Event: Veröffentlichung
• (who): Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
• (where): Dortmund
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/22655
• Last update: 10.03.2025, 11:44 AM CET