What Drives Firm-Level Stock Returns?

By Tuomo Vuolteenaho. 2002

1,039 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a94ef36474ff430d32c975c5c4bde211e87722e6

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Citations in the corpus

The Predictive Content of Aggregate Analyst Recommendations (2009, positive): “chaely and Womack [2005], analysis of decision-making by security analysts, specifically decisions by sell-side analysts to issue recommendations, provides evidence on some of the most fundamental questions in capital markets research. We show that changes in aggregate analyst recommendations foreca”
Modeling the Change of Paradigm: Non-Bayesian Reactions to Unexpected News † (2012, background): “3 See Bernard and Thomas (1989); Chan, Jegadeesh, and Lakonishok (1996); Vuolteenaho (2002); and La Porta et al. (1997).”
Average Returns, B/M, and Share Issues (2008, background): “Vuolteenaho (2002) finds that differences in forecasts of cashflows loom large in the cross-section of B/M for individual stocks.”
What Drives Stock Price Movements (2013, positive): “and Cohen, Polk, and Vuolteenaho (2003)).”
Bad Beta, Good Beta (2004, neutral): “B (.0029) N/A (.0030) N/A (.0028) N/AbβCF premium (g1) .0173 .0069 .0083 .0148 .0051 .0067 % per annum 20.76% 8.22% 9.91% 17.80% 6.11% 8.00% Std. err.”
Quality minus junk (2018, neutral): “Vuolteenaho (2002), Cohen, Polk, and Vuolteenaho (2003, 2009), and Fama and French (2006) consider individual stocks.”
Why Did Individual Stocks Become More Volatile (2003, background): “A recent paper by Vuolteenaho (2002) points out that …rm-level stock returns are mainly driven by cash-‡ow news.”
Financial reporting quality and idiosyncratic return volatility (2011, background): “Cash flow volatility: Vuolteenaho (2002) shows that firm level stock returns are a function of both”
Cross-sectional forecasts of the equity premium (2006, methodology): “A similar logic can be applied to the loglinear book-to-market model by Vuolteenaho (2000, 2002).”
Investor recognition and stock returns (2008, background): “Our research has implications for the large body of existing research on the role of cash flow news versus expected return news in explaining cross-sectional variation in security returns (e.g., Roll, 1988; Campbell, 1991; Vuolteenaho, 2002).”
The Geography of Investment: Informed Trading and Asset Prices (2001, methodology): “This conservative approach has been shown to produce robust standard errors (e.g., Fama and MacBeth 1973; Vuolteenaho 2000).”