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- catalog abstract "Stock returns are correlated with contemporaneous earnings growth, dividend growth, future real activity, and other cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of the popular specifications, variables that are motivated as proxies for cash-flow news also track a nontrivial proportion of one-period expected returns and expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow news also track a nontrivial proportion of one-period expected returns and expected-return news. As a result, the R2 from a regression of returns on cash-flow proxies may overstate or understate that importance of cash-flow news as a source of return variance.".
- catalog contributor b12944758.
- catalog contributor b12944759.
- catalog contributor b12944760.
- catalog created "c2003.".
- catalog date "2003".
- catalog date "c2003.".
- catalog dateCopyrighted "c2003.".
- catalog description "Includes bibliographical references.".
- catalog description "Stock returns are correlated with contemporaneous earnings growth, dividend growth, future real activity, and other cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of the popular specifications, variables that are motivated as proxies for cash-flow news also track a nontrivial proportion of one-period expected returns and expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow news also track a nontrivial proportion of one-period expected returns and expected-return news. As a result, the R2 from a regression of returns on cash-flow proxies may overstate or understate that importance of cash-flow news as a source of return variance.".
- catalog extent "27, [24] p. :".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 03-043.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 03-043".
- catalog issued "2003".
- catalog issued "c2003.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Explaining returns with cash-flow proxies / Peter Hecht and Tuomo Vuolteenaho.".
- catalog type "text".