A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Discount rates and cash flows: A local projection approach
Tekijät: Lof Matthijs, Nyberg Henri
Kustantaja: Elsevier B.V.
Julkaisuvuosi: 2024
Journal: Journal of Banking and Finance
Tietokannassa oleva lehden nimi: Journal of Banking and Finance
Artikkelin numero: 107127
Vuosikerta: 162
DOI: https://doi.org/10.1016/j.jbankfin.2024.107127
Verkko-osoite: https://doi.org/10.1016/j.jbankfin.2024.107127
Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/387698119
Tiivistelmä
We develop flexible local projections to quantify the relative contributions of expected discount rates and cash flows to the variation of dividend yields. Local projections enable the incorporation of large information sets, the use of monthly data along with annual data, and the consideration of time variation in the dividend yield decomposition. By expanding the set of state variables and allowing for time-varying parameters, our results show that the variation of expected discount rates remains the primary contributor to market volatility, whereas the contribution of expected cash flows is considerably smaller.
We develop flexible local projections to quantify the relative contributions of expected discount rates and cash flows to the variation of dividend yields. Local projections enable the incorporation of large information sets, the use of monthly data along with annual data, and the consideration of time variation in the dividend yield decomposition. By expanding the set of state variables and allowing for time-varying parameters, our results show that the variation of expected discount rates remains the primary contributor to market volatility, whereas the contribution of expected cash flows is considerably smaller.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
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