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1、JOURNALOFFINANCIALANDQUANTITATIVEANALYSISVol.47,No.5,Oct.2012,pp.1003–1028COPYRIGHT2012,MICHAELG.FOSTERSCHOOLOFBUSINESS,UNIVERSITYOFWASHINGTON,SEATTLE,WA98195doi:10.1017/S0022109012000427DividendGrowth,CashFlow,andDiscountRateNewsIanGarrettandRichardPriestl
2、ey∗AbstractUsinganewvariablebasedonamodelofdividendsmoothing,wefindthatdividendgrowthishighlypredictableandthatcashflownewscontributesimportantlytoreturnvariability.Cashflowbetasderivedfromthispredictabilityarecentraltoexplainingthesizeeffectinthecrosssectiono
3、freturns.However,theydonotexplainthevalueeffect;thisisexplainedbynoisebetas.Wealsofindthattherelativeimportanceofcashflownewsinexplainingrecentstockpricerun-upsandsubsequentdeclinesincreaseswhencashflownewsisestimateddirectly.I.IntroductionInvestors’revisionst
4、oforecastsoffuturecashflowsanddiscountratesareacentralissueinunderstandingstockpricemovements.Atpresent,theempiricalevidencepointstotheconclusionthatpricesaredrivenmainlybyrevisionstodiscountratesandthatcashflowsarelargelyunpredictable.1Thecurrentthinkingonth
5、istopicisbestexpressedbyCochrane((2010),p.1),whendiscussingthe∗Garrett,ian.garrett@mbs.ac.uk,ManchesterBusinessSchool,UniversityofManchester,BoothStreetWest,ManchesterM156PB,UK;Priestley,richard.priestley@bi.no,BINorwegianSchoolofManagement,Nydalsveien,N-04
6、42Oslo,Norway.WearegratefulforcommentsfromStephenBrown(theeditor),LongChen,ChristopherPolk,TylerShumway,AlexTaylor,NickTaylor,andseminarparticipantsatBristol,Essex,Glasgow,Stirling,Warwick,andthelunchtimebrownbagseminarattheUniversityofMichigan.Weareparticu
7、larlygratefultoananonymousrefereefornumeroushelpfulcommentsandsuggestions.WethankKennethFrench,AmitGoyal,RobertShiller,andTuomoVuolteenahoformakingtheirdataavailable.MartinLozanoprovidedexcellentresearchassistance.Allerrorsandomissionsareourresponsibility.1
8、Thereisalongliteratureonthepredictabilityofreturnsanddividendgrowth(see,e.g.,Ang(2002),AngandBekaert(2007),CampbellandShiller(1988),Campbell(1991),Cochrane(1992),(2005),(2008),(2010),GoyalandWelch(2003
