Cashflow news, the value premium and an asset pricing view on European stock market integration

Thomas Nitschka

No 339, IEW - Working Papers from Institute for Empirical Research in Economics - University of Zurich

Abstract: The decomposition of national CAPM market betas of European countries� value and growth portfolio returns into cashflow and discount rate news driven components reveals that i) high average 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 factor should price any (international) asset.

Keywords: Cashflow beta; discount rate beta; CAPM; value premium (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2007-11
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Journal Article: Cashflow news, the value premium and an asset pricing view on European stock market integration (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:zur:iewwpx:339

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