We develop a new approach to modeling dynamics in cash flow data extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly...

Corporate earnings announcements unpack large bundles of information that should, if markets are efficient, almost surely trigger jumps in stock prices immediately after the news release. Testing this implication is difficult in practice because most earnings announcements occur in the...

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...