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

  • Thomas Nitschka
  • Published 2007
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… CONTINUE READING