What Drives Stock Price Movements?
研究了股票价格变动是由预期现金流还是贴现率变化驱动，发现现金流新闻的重要性随投资期限增长，超过两年后更为关键。
A central issue in finance is whether stock prices move because of revisions in expected cash flows or discount rates, and by how much of each. Using direct cash flow forecasts, we show that stock returns have a significant cash flow news component whose importance increases with the investment horizon. For horizons over two years, cash flow news is more important. These conclusions hold at both the firm and aggregate levels, and diversification plays a secondary role in affecting the relative importance of cash flow and discount rate news. Our findings highlight the importance of cash flows in asset pricing. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.