Cash flow news discount rate news and momentum

Cash Flow News, Discount Rate News, and Momentum Umut Celiker12, Volkan Kayacetin 3, Raman Kumar4, and Gokhan Sonaer5 This Version: 12/27/2015 Abstract We examine the effect of aggregate cash flow and discount rate news on momentum returns. We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. This finding expands on the evidence in Cooper et al. (2004) that momentum is significant only when past market returns are non-negative and in Antoniou et al. (2013 effect on momentum profits. To this end, we decompose unex- pected market returns in the portfolio formation period into com- ponents related to cash flow and discount rate news via the return

components driven by the firm's cash-flow news and discount-rate news, we find that Unlike monthly returns which exhibit momentum, annual market returns  We apply a dynamic dividend-discount model to analyse unexpected housing returns in a panel cash flows (“cash-flow news”) and/or shocks to discount rates (“expected- This suggests some price-momentum and price-reversal patterns. due to cash flow news revisions and the change due to discount rate news revisions. They conclude that both cash flow news and discount rate news contribute to stock price movement. Following this of the price momentum. Panel B in  alternative explanations to stock price momentum.” I have examined systematic and persistent (cash flow) growth rate risk factor may not exist, and even so information from news, transmit this information with a delay to market participants  21 Mar 2010 Keywords: currency returns, expected return news, intrinsic value, momentum stock portfolio returns into their cashflow, discount rate and real 

and momentum (Fama and French (1993), Fama and French (1996), discount rate and cash flow news in different market settings and over a longer period of.

The objective of this study is to analyse the impact of the cash flow news and discount rate news on stock returns of energy firms of Pakistan from 2000 to 2015 . 11 Nov 2019 Keywords: High-frequency cash flow news; predictability of dividend estimate better captures shifts in the momentum of dividend growth dividend-price ratio since such news may also have sizeable discount rate effects. size, value, and momentum (Fama and French (1993), (1996), Jegadeesh nitudes of discount rate and cash flow news in 2 particularly bad market settings:. and momentum (Fama and French (1993), Fama and French (1996), discount rate and cash flow news in different market settings and over a longer period of. They could represent surprises caused by revisions to the expected future cash flows (i.e., cash flow news) or to the discount rates (i.e., discount rate news) that  28 Jan 2018 The distinction between cash-flow news and discount-rate news is key to (2013 ) show that value and momentum strategies for different asset  17 May 2010 denotes cash flow news, and NDR,t+1 denotes discount rate news (or the apparent anomalies posed by value, small and momentum stocks.

31 Jan 2018 Blog · News · Awards · Events Swings in the discount rate directly change a stock's valuation risk may outweigh the near-term relative risk from a momentum sprint. For equities, the growth in earnings and cash flows also plays a and are not intended to be a forecast of future events, a guarantee of 

are not simply following price momentum strategies: When price goes up in the expected cash flows (i.e., cash-flow news) and/or shocks to discount rates (i.e.  7 Mar 2018 flows. Interestingly, anomaly cash flow (discount rate) news is returns with the expected negative signs, while momentum has a positive sign,  The objective of this study is to analyse the impact of the cash flow news and discount rate news on stock returns of energy firms of Pakistan from 2000 to 2015 .

Due to copyright restrictions, the access to the full text of this article is only available via subscription.We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods.

21 Mar 2010 Keywords: currency returns, expected return news, intrinsic value, momentum stock portfolio returns into their cashflow, discount rate and real 

21 Mar 2010 Keywords: currency returns, expected return news, intrinsic value, momentum stock portfolio returns into their cashflow, discount rate and real 

Abstract. We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. Cash Flow News, Discount Rate News, and Momentum Umut Celiker12, Volkan Kayacetin 3, Raman Kumar4, and Gokhan Sonaer5 This Version: 12/27/2015 Abstract We examine the effect of aggregate cash flow and discount rate news on momentum returns.

28 Jan 2018 The distinction between cash-flow news and discount-rate news is key to (2013 ) show that value and momentum strategies for different asset  17 May 2010 denotes cash flow news, and NDR,t+1 denotes discount rate news (or the apparent anomalies posed by value, small and momentum stocks. 31 Jan 2018 Blog · News · Awards · Events Swings in the discount rate directly change a stock's valuation risk may outweigh the near-term relative risk from a momentum sprint. For equities, the growth in earnings and cash flows also plays a and are not intended to be a forecast of future events, a guarantee of