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Cashflow news, the value premium and an asset pricing view on European stock market integration


Nitschka, Thomas (2007). Cashflow news, the value premium and an asset pricing view on European stock market integration. Working paper series / Institute for Empirical Research in Economics No. 339, University of Zurich.

Abstract

The decomposition of national CAPM market betas of European countries’ value and growthnportfolio returns into cashflow and discount rate news driven components reveals that i) highnaverage returns on value portfolios are associated with disproportionately high sensitivity to national cashflow news which corroborates recent evidence for the U.S. and ii) two-beta variants of national CAPMs capture the cross-sectional dispersion in European stock returns. The latter finding is suggestive of relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national) discount factornshould price any (international) asset.

Abstract

The decomposition of national CAPM market betas of European countries’ value and growthnportfolio returns into cashflow and discount rate news driven components reveals that i) highnaverage returns on value portfolios are associated with disproportionately high sensitivity to national cashflow news which corroborates recent evidence for the U.S. and ii) two-beta variants of national CAPMs capture the cross-sectional dispersion in European stock returns. The latter finding is suggestive of relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national) discount factornshould price any (international) asset.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
Dewey Decimal Classification:330 Economics
Language:English
Date:November 2007
Deposited On:29 Nov 2011 22:47
Last Modified:07 Dec 2017 10:15
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
Official URL:http://www.econ.uzh.ch/wp.html

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