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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Cashflow news, the value premium and an asset pricing view on European stock market integration |
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| Institution | University of Zurich |
| Series Name | Working paper series / Institute for Empirical Research in Economics |
| Number | No. 339 |
| ISSN | 1424-0459 |
| Date | 2007 |
| Abstract Text | The decomposition of national CAPM market betas of European countries’ value and growthnportfolio returns into cashflow and discount rate news driven components reveals that i) highnaverage returns on value portfolios are associated with disproportionately high sensitivity to national cashflow news which corroborates recent evidence for the U.S. and ii) two-beta variants of national CAPMs capture the cross-sectional dispersion in European stock returns. The latter finding is suggestive of relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national) discount factornshould price any (international) asset. |
| Official URL | http://www.econ.uzh.ch/wp.html |
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