Do expected asset returns vary through time? Why do some assets exhibit higher average returns than others? How can factors that drive expected returns in the time series be linked to factors that explain the cross-sectional dispersion in average returns? How do these findings affect...

The decomposition of a European market return into cashflow and discount rate news components suggests that returns on European and country value portfolios react more sensitive to news about the European market returnś cashflows than the corresponding growth portfolios. This evidence is...