Explaining Returns with Cash-Flow Proxies
用Campbell的收益分解方法，分析现金流代理变量与股票收益的相关性，发现这些变量不仅反映现金流消息，还追踪预期收益和预期收益消息，导致回归R²可能高估或低估现金流消息对收益波动的重要性。
Stock returns are correlated with contemporaneous earnings growth, dividend growth, future real activity, and other cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of the popular specifications, variables that are motivated as proxies for cash-flow news also track a nontrivial proportion of one-period expected returns and expected-return news. As a result, the R-super-2 from a regression of returns on cash-flow proxies may overstate or understate the importance of cash-flow news as a source of return variance. Copyright 2006, Oxford University Press.