FACTORS AFFECTING OPERATING CASH FLOW TO STOCK RETURN THROUGH STOCK PRICE

Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk

This paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock p...

Efficient Price Discovery in Stock Index Cash and Futures Markets

This study is concerned with the aggregation of information in stock index cash and futures markets. The efficient price discovery is analyzed with reference to the error correction representation and to the common trend representation of cointegrated variables. The empirical evidence is based on three month of intraday data on the French CAC 40 index. The results indicate that deviations from ...

Stock Return and Cash Flow Predictability: The Role of Volatility Risk∗

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the variance risk premium positively forecast both short-horizon returns and dividend growth rates. We also conf...

Factors Associated with Stock Price Volatility

The worldwide increase in share price volatility in recent years has stimulated an abundance of research in an effort to understand individual share price volatility in international markets. The objectives of this study are: (i) to isolate factors suggested by investment theories and practices and to observe their ability to jointly explain share price volatility on the developing Kuala Lumpur...

Stock Price Manipulation Through Takeover Bids