Dividend Growth, Cash Flow, and Discount Rate News
基于股息平滑模型的新变量，发现股息增长高度可预测，现金流消息对收益波动贡献显著，且现金流贝塔能解释规模效应，但价值效应由噪声贝塔解释。
Abstract Using a new variable based on a model of dividend smoothing, we find that dividend growth is highly predictable and that cash flow news contributes importantly to return variability. Cash flow betas derived from this predictability are central to explaining the size effect in the cross section of returns. However, they do not explain the value effect; this is explained by noise betas. We also find that the relative importance of cash flow news in explaining recent stock price run-ups and subsequent declines increases when cash flow news is estimated directly.