What Drives Firm-Level Stock Returns?
收藏NBER2001-04-01 更新2025-01-04 收录
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https://www.nber.org/papers/w8240
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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
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美国国家经济研究局创建时间：
2001-04-01
