This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test...

The term structure of equity return volatility fluctuates across time. It affects the term structure of equity returns through the volatility feedback effect and explains the cyclicality of equity return term structure. By analysing the dividend strip futures, this paper finds that volatility...

Between May 1992 and June 2001, seventy-two Indian firms listed their 85 Depositary Receipt (DR) programs on the foreign capital markets. Existing literature on foreign listings offers 'improved access to capital markets' as one of the main considerations for firms' foreign listing decisions....

Insider transactions are not random across growth and value stocks. We find that insider buying climbs as stocks change from growth to value categories. Insider buying is also greater after lower stock returns, and lower after high stock returns. These findings are consistent with a version of...

This paper applies a Bayesian break method to studying the empirical time-varying relations between stock price ratios and subjective expectations across the market and 30 industry portfolios monthly from 1976 to 2020. Cash flow expectations unconditionally explain 80% of price variations since...

I construct a measure of cash flow duration at the firm level and link it to carbon emissions of the same firm. Firms with higher carbon emissions generate their cash flows in the near term, reflecting that long-term cash flows are relatively more exposed to transitional climate risks. This...

Unlike stocks, unexpected returns of REITs (real estate investment trusts) are mainly driven by adjustments (called ``news'') in expected dividend growth as opposed to discount rates. The importance of REIT cash flow news is strong before and during the GFC, but also during the Dotcom period...

This paper develops a novel theory of accounting, in the form of a quantitative language, capable of reformulating, generalizing, and studying the discounted cash flow model, in plain accounting terms - going through the reformulation of the underlying future cash flows and their financing. This...

We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a novel oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stocks and oil, we split unexpected returns into cash flow...

This paper analyses the issue of the timing of expenditures in replacing fixed assets within the context of valuing firms using the free cash flow approach. Standard practice amongst both practitioners and academics is to assume a smooth pattern in these expenditures past some future point, and...