Discount rates and cash flows: A local projection approach

dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorLof, Matthijs
dc.contributor.authorNyberg, Henri
dc.contributor.departmentDepartment of Financeen
dc.contributor.organizationUniversity of Turku
dc.date.accessioned2024-04-03T07:13:40Z
dc.date.available2024-04-03T07:13:40Z
dc.date.issued2024-03-07
dc.descriptionPublisher Copyright: © 2024 The Author(s)
dc.description.abstractWe develop flexible local projections to quantify the relative contributions of expected discount rates and cash flows to the variation of dividend yields. Local projections enable the incorporation of large information sets, the use of monthly data along with annual data, and the consideration of time variation in the dividend yield decomposition. By expanding the set of state variables and allowing for time-varying parameters, our results show that the variation of expected discount rates remains the primary contributor to market volatility, whereas the contribution of expected cash flows is considerably smaller.en
dc.description.versionPeer revieweden
dc.format.extent18
dc.format.mimetypeapplication/pdf
dc.identifier.citationLof, M & Nyberg, H 2024, ' Discount rates and cash flows: A local projection approach ', JOURNAL OF BANKING AND FINANCE, vol. 162, 107127 . https://doi.org/10.1016/j.jbankfin.2024.107127en
dc.identifier.doi10.1016/j.jbankfin.2024.107127
dc.identifier.issn0378-4266
dc.identifier.otherPURE UUID: c79f43c6-8be1-4ccd-a08b-8b59592101aa
dc.identifier.otherPURE ITEMURL: https://research.aalto.fi/en/publications/c79f43c6-8be1-4ccd-a08b-8b59592101aa
dc.identifier.otherPURE LINK: http://www.scopus.com/inward/record.url?scp=85187645402&partnerID=8YFLogxK
dc.identifier.otherPURE FILEURL: https://research.aalto.fi/files/142668600/BIZ_Lof_Nyberg_Discount-rates-and-cash-flows_JBF_2024_pdfa2b.pdf
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/127359
dc.identifier.urnURN:NBN:fi:aalto-202404032986
dc.language.isoenen
dc.publisherElsevier Science B.V.
dc.relation.ispartofseriesJOURNAL OF BANKING AND FINANCE
dc.relation.ispartofseriesVolume 162
dc.rightsopenAccessen
dc.subject.keywordDecomposition
dc.subject.keywordDividend growth
dc.subject.keywordDividend yield
dc.subject.keywordLocal projections
dc.titleDiscount rates and cash flows: A local projection approachen
dc.typeA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessäfi
dc.type.versionpublishedVersion
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