The Importance of Cash‐Flow News for Financially Distressed Firms
发现，当企业陷入财务困境时，现金流新闻对其股票回报的影响比折现率新闻更大，且更多破产发生在预期现金流的负面冲击之后。
Previous studies have shown that stock prices are moved primarily by news about discount rates (expected returns). I argue that when a firm experiences financial distress, news about cashflows becomes more dominant in driving its stock returns. Applying Campbell's (1991) variance decomposition framework to financially distressed firms supports this argument. Furthermore, I find that more bankruptcies occur after negative shocks to expected cashflows than after positive shocks to discount rates; and that stock prices of distressed firms are less sensitive than those of sound firms to changes in equity risk.