What Drives Firm‐Level Stock Returns?
用向量自回归模型将公司股票回报分解为现金流新闻和预期收益新闻，发现现金流新闻是主要驱动因素，且小公司的两类冲击正相关。
ABSTRACT I use a vector autoregressive model (VAR) to decompose an individual firm's stock return into two components: changes in cash‐flow expectations (i.e., cash‐flow news) and changes in discount rates (i.e., expected‐return news). The VAR yields three main results. First, firm‐level stock returns are mainly driven by cash‐flow news. For a typical stock, the variance of cash‐flow news is more than twice that of expected‐return news. Second, shocks to expected returns and cash flows are positively correlated for a typical small stock. Third, expected‐return‐news series are highly correlated across firms, while cash‐flow news can largely be diversified away in aggregate portfolios.