Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - European Central Bank - 2006
a decomposition of EU banks' stock returns to cash-flow and expected return news components. The main findings are that … while the bulk of the variability of EU banks' stock returns is due to cash flow shocks, the expected return shocks are … explain a higher share of the cash-flow component of the total excess returns for smaller than for larger EU banks. This …