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Security Returns (security + return)
Selected AbstractsThe Effect of Earnings Permanence, Growth, and Firm Size on the Usefulness of Cash Flows and Earnings in Explaining Security Returns: Empirical Evidence for the UKJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2001Andreas Charitou This paper examines the relative information content of earnings and cash flows for security returns using a methodology incorporating contextual factors which may affect earnings and cash flow response coefficients. For our UK dataset, we provide evidence that the earnings coefficient is related to earnings permanence, growth and firm size and that the cash flow coefficient may be related to growth. Although our results emphasise the value relevance of earnings, they also suggest that both contemporaneous and prior period cash flow are positively related to security returns and that market-to-book and market value of equity have predictive power for returns. [source] The Stability of the Relation Between the Stock Market and Macroeconomic ForcesECONOMIC NOTES, Issue 3 2002Fabio Panetta This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. The relation between stock returns and the macroeconomic factors is found to be unstable: not only are the factor loadings of individual securities virtually uncorrelated over time, but a high percentage of the shares experience a reversal of the sign of the estimated loadings. This result is not confined to single periods or to a small group of shares, but holds in different sub,periods and for securities in all risk classes. These findings suggest that research should carefully investigate the specification of the return generating process and the stability of the risk measures. (J.E.L.: G12, E44). [source] Aggregate Earnings and Asset PricesJOURNAL OF ACCOUNTING RESEARCH, Issue 5 2009RAY BALL ABSTRACT A principal-components analysis demonstrates that common earnings factors explain a substantial portion of firm-level earnings variation, implying earnings shocks have substantial systematic components and are not almost fully diversifiable as prior literature has concluded. Furthermore, the principal components of earnings and returns are highly correlated, implying aggregate earnings risks and return risks are related. In contrast to previous studies, the correlation we report between the systematic components of earnings and returns is stable over time. We also show that the earnings factors are priced, in the sense that the sensitivities of securities' returns to the earnings factors explain a significant portion of the cross-sectional variation in returns, even controlling for return risk. This suggests earnings performance is an underlying source of priced risk. Our evidence that the information sets of returns and earnings are jointly determined implies cash flow risk and return risk are not fully separable, and raises the possibility that it is the common variation of earnings and returns that is priced. [source] Distributional Impacts of Pension Policy in Argentina: Winners and Losers within and Across GenerationsINTERNATIONAL SOCIAL SECURITY REVIEW, Issue 3 2006Camila Arza The paper deals with the life-cycle intra- and intergenerational income transfers operated by the pension system in Argentina by estimating the internal rates of return obtained by different generations and types of workers from their participation in the system. The empirical analysis confirms that earlier generations of workers benefited from higher social security returns than later generations, which retired under a matured system with large deficits. The worst-affected cohorts were those born after 1920, particularly suffering from a social security crisis and falling real wages. For future generations retiring fully under the new mixed pension system, returns will more closely depend on financial market performance and the evolution of administration costs. Intragenerational transfers were also observed for all cohorts under study, as a result of the original system design as well as adjustments adopted during the implementation process. The real distributional impact of progressive benefit formulas could, however, be offset by state transfers to cover pension deficits and forward tax shifting in a context of unequal pension coverage. [source] The Effect of Earnings Permanence, Growth, and Firm Size on the Usefulness of Cash Flows and Earnings in Explaining Security Returns: Empirical Evidence for the UKJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2001Andreas Charitou This paper examines the relative information content of earnings and cash flows for security returns using a methodology incorporating contextual factors which may affect earnings and cash flow response coefficients. For our UK dataset, we provide evidence that the earnings coefficient is related to earnings permanence, growth and firm size and that the cash flow coefficient may be related to growth. Although our results emphasise the value relevance of earnings, they also suggest that both contemporaneous and prior period cash flow are positively related to security returns and that market-to-book and market value of equity have predictive power for returns. [source] The Diversification Discount: Cash Flows Versus ReturnsTHE JOURNAL OF FINANCE, Issue 5 2001Owen A. Lamont Diversified firms have different values from comparable portfolios of single-segment firms. These value differences must be due to differences in either future cash flows or future returns. Expected security returns on diversified firms vary systematically with relative value. Discount firms have significantly higher subsequent returns than premium firms. Slightly more than half of the cross-sectional variation in excess values is due to variation in expected future cash flows, with the remainder due to variation in expected future returns and to covariation between cash flows and returns. [source] | ||||||||||