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作者 Chaves, Denis Biangolino
書名 What explains the variance of prices and returns? Time-series vs. cross-section
國際標準書號 9781124197326
book jacket
說明 68 p
附註 Source: Dissertation Abstracts International, Volume: 71-10, Section: A, page: 3739
Adviser: John H. Cochrane
Thesis (Ph.D.)--The University of Chicago, 2010
This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected returns drive the majority of the time-series volatility in price ratios and unexpected returns, and (b) differences in expected cash flows generate most of the cross-sectional variance in valuations and unexpected returns. Contrary to previous results in the literature, I conclude that individual stocks or portfolios look similar to the market. These findings are robust to short- and long-run regressions and hold when using dividends or (clean surplus accounting) earnings as cash flows. Finally, I present a simple present-value model with latent expected returns and dividend growth rates that explains most of these results
School code: 0330
Host Item Dissertation Abstracts International 71-10A
主題 Business Administration, Management
Economics, Finance
Alt Author The University of Chicago. Business
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