Cash Flows and Discount Rates, Industry and Country Effects and Co‐Movement in Stock Returns
运用Campbell分解方法，基于1995-2003年数据，研究了行业与国家因素对股票收益中未来股息和贴现率新闻的影响，发现全球贴现率成分比特质成分更重要。
Abstract We apply the Campbell decomposition to industry‐by‐country, national, global industry, and world stock index returns using 1995–2003 data. World, global industry, and country factors are all important for each of the two key components of stock returns: news about future dividends and news about future discount rates. Furthermore, the world component of future discount rates is more important than the idiosyncratic component, while the reverse is true for news about future dividends. Our results are broadly consistent with co‐movement in future discount rates arising from perceptions of common elements of risk in international equity markets.