Gompers, Paul Alan; Cohen, Randolph B.; Vuolteenaho, Tuomo - National Bureau of Economic Research (NBER) - 2002
A large body of literature suggests that firm-level stock prices 'underreact' to news about future cash flows, i.e., shocks to a firm's expected cash flows are positively correlated with shocks to expected returns on its stock. We estimate a vector autoregession to examine the joint behavior of...