Cash Flow News and Stock Price Dynamics
从公司每日股息公告中提取现金流信息，分解为持久成分、跳跃和暂时冲击，发现持久成分能显著预测未来股息和消费增长，并解释股票回报和波动。
ABSTRACT We develop a new approach to modeling dynamics in cash flows extracted from daily firm‐level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly significant predictor of future growth in dividends and consumption. Using a log‐linearized present value model, we show that news about the persistent dividend growth component predicts stock returns consistent with asset pricing constraints implied by this model. News about the daily dividend growth process also helps explain concurrent return volatility and the probability of jumps in stock returns.