Resource title

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

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Resource description

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.

Resource author

Thomas Nitschka

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Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/22655

Resource license

Adapt according to the presented license agreement and reference the original author.