Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22655 
Year of Publication: 
2006
Series/Report no.: 
Technical Report No. 2006,12
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
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 return´s cashflows than the corresponding growth portfolios. This evidence is substantially weaker when the receptiveness of country value and growth returns to cashflow and discount rate news components of the respective national market return is in question. Moreover, I show that national news series are more important than international news series in explaining the variation in European value and growth returns. Even though European cashflow news play a marginally significant role in explaining returns on value portfolios, there is no persuasive evidence of the notion that high cashflow betas explain relatively high average returns on European countries´ value portfolios.
Subjects: 
cashflow and discount rate beta
international stock markets
value premium
book-to-market factor
JEL: 
G12
G15
G14
Document Type: 
Working Paper

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