期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：We combine the dynamic dividend-discount model with an accounting- based vector autoregression framework that allows for a decomposition of EU banksstock returns to cash-ow and expected return news compo- nents. The main ndings are that while the bulk of the variability of EU banksstock returns is due to cash ow shocks, the expected return shocks are relatively more important for larger than for smaller banks. Moroever, variables used in the literature as cash-ow proxies explain a higher share of the cash-ow component of the total excess returns for smaller than for larger EU banks. This suggests that large banks could be more prone to market wide news and events - that in the literature are associated with the expected return news component - as opposed to the bank-speci c news, typically assumed to be incorporated in the cash-ow component.
