{"id":"https://openalex.org/W2807003334","doi":"https://doi.org/10.1111/jofi.12901","title":"Cash Flow News and Stock Price Dynamics","display_name":"Cash Flow News and Stock Price Dynamics","publication_year":2020,"publication_date":"2020-04-03","ids":{"openalex":"https://openalex.org/W2807003334","doi":"https://doi.org/10.1111/jofi.12901","mag":"2807003334"},"language":"en","primary_location":{"id":"doi:10.1111/jofi.12901","doi":"https://doi.org/10.1111/jofi.12901","is_oa":false,"landing_page_url":"https://doi.org/10.1111/jofi.12901","pdf_url":null,"source":{"id":"https://openalex.org/S5353659","display_name":"The Journal of Finance","issn_l":"0022-1082","issn":["0022-1082","1540-6261"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5089152261","display_name":"Davide Pettenuzzo","orcid":"https://orcid.org/0000-0002-6864-7463","observed_orcids":["https://orcid.org/0000-0002-6864-7463","https://orcid.org/0000-0002-5784-7945"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"DAVIDE PETTENUZZO","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5044489725","display_name":"Riccardo Sabbatucci","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"RICCARDO SABBATUCCI","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5047267836","display_name":"Allan Timmermann","orcid":"https://orcid.org/0000-0002-1555-2268","observed_orcids":["https://orcid.org/0000-0002-1555-2268"]},"institutions":[{"id":"https://openalex.org/I180242103","display_name":"Stockholm School of Economics","ror":"https://ror.org/01s5jzh92","country_code":"SE","type":"education","lineage":["https://openalex.org/I180242103"]},{"id":"https://openalex.org/I36258959","display_name":"University of California San Diego","ror":"https://ror.org/0168r3w48","country_code":"US","type":"education","lineage":["https://openalex.org/I36258959"]},{"id":"https://openalex.org/I40347166","display_name":"University of Chicago","ror":"https://ror.org/024mw5h28","country_code":"US","type":"education","lineage":["https://openalex.org/I40347166"]},{"id":"https://openalex.org/I6902469","display_name":"Brandeis University","ror":"https://ror.org/05abbep66","country_code":"US","type":"education","lineage":["https://openalex.org/I6902469"]}],"countries":["SE","US"],"is_corresponding":true,"raw_author_name":"ALLAN TIMMERMANN","raw_affiliation_strings":["Davide Pettenuzzo is at International Business School, Brandeis University. Riccardo Sabbatucci is at Department of Finance, Stockholm School of Economics. Allan Timmermann is at Rady School of Management, UC San Diego. We are grateful to the editor, Stefan Nagel, an Associate Editor, and two anonymous referees for many valuable suggestions on our paper. We also received helpful comments from Jules van Binsbergen, Chris Polk, Federico Bandi, and participants at the Utah Winter Finance Conference 2019, CEPR Gerzensee 2018, BI-SHoF 2018, and conferences in Toronto (Western University, April 2018), Toulouse (Toulouse School of Economics, May 2018), and University of Chicago (May 2019). We are grateful to INQUIRE Europe for financial support. We have read The Journal of Finance disclosure policy and have no conflicts of interest to disclose"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Davide Pettenuzzo is at International Business School, Brandeis University. Riccardo Sabbatucci is at Department of Finance, Stockholm School of Economics. Allan Timmermann is at Rady School of Management, UC San Diego. We are grateful to the editor, Stefan Nagel, an Associate Editor, and two anonymous referees for many valuable suggestions on our paper. We also received helpful comments from Jules van Binsbergen, Chris Polk, Federico Bandi, and participants at the Utah Winter Finance Conference 2019, CEPR Gerzensee 2018, BI-SHoF 2018, and conferences in Toronto (Western University, April 2018), Toulouse (Toulouse School of Economics, May 2018), and University of Chicago (May 2019). We are grateful to INQUIRE Europe for financial support. We have read The Journal of Finance disclosure policy and have no conflicts of interest to disclose","institution_ids":["https://openalex.org/I180242103","https://openalex.org/I36258959","https://openalex.org/I40347166","https://openalex.org/I6902469"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5047267836"],"corresponding_institution_ids":["https://openalex.org/I180242103","https://openalex.org/I36258959","https://openalex.org/I40347166","https://openalex.org/I6902469"],"apc_list":{"value":3500,"currency":"USD","value_usd":3500},"apc_paid":null,"fwci":4.6758,"has_fulltext":false,"cited_by_count":43,"citation_normalized_percentile":{"value":0.94900016,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"75","issue":"4","first_page":"2221","last_page":"2270"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9678000211715698,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9678000211715698,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10019","display_name":"Corporate Finance and Governance","score":0.019899999722838402,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.005900000222027302,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cash-flow-news","display_name":"cash flow news","score":0.8579999804496765},{"id":"https://openalex.org/keywords/dividend-announcements","display_name":"dividend announcements","score":0.9739999771118164},{"id":"https://openalex.org/keywords/dividend-growth","display_name":"dividend growth","score":0.703000009059906},{"id":"https://openalex.org/keywords/jumps","display_name":"jumps","score":0.5370000004768372},{"id":"https://openalex.org/keywords/temporary-shocks","display_name":"temporary shocks","score":0.8949999809265137},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.8220000267028809},{"id":"https://openalex.org/keywords/return-volatility","display_name":"return volatility","score":0.7860000133514404},{"id":"https://openalex.org/keywords/consumption-growth","display_name":"consumption growth","score":0.7440000176429749},{"id":"https://openalex.org/keywords/present-value-model","display_name":"present value model","score":0.765999972820282}],"concepts":[{"id":"https://openalex.org/C116168712","wikidata":"https://www.wikidata.org/wiki/Q181201","display_name":"Dividend","level":2,"score":0.748249351978302},{"id":"https://openalex.org/C163428354","wikidata":"https://www.wikidata.org/wiki/Q1047513","display_name":"Cash flow","level":2,"score":0.7187684774398804},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.609384298324585},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5930072665214539},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.580315351486206},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5486323833465576},{"id":"https://openalex.org/C143591128","wikidata":"https://www.wikidata.org/wiki/Q1746791","display_name":"Growth stock","level":5,"score":0.5041295289993286},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47078388929367065},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.42713463306427},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4166334569454193},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15540289878845215},{"id":"https://openalex.org/C12747933","wikidata":"https://www.wikidata.org/wiki/Q13405082","display_name":"Stock market bubble","level":4,"score":0.14530760049819946},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.1125657856464386},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1111/jofi.12901","doi":"https://doi.org/10.1111/jofi.12901","is_oa":false,"landing_page_url":"https://doi.org/10.1111/jofi.12901","pdf_url":null,"source":{"id":"https://openalex.org/S5353659","display_name":"The Journal of Finance","issn_l":"0022-1082","issn":["0022-1082","1540-6261"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Finance","raw_type":"journal-article"},{"id":"mag:3123313754","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:cpr:ceprdp:14117","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:cpr:ceprdp:14117","doi":null,"is_oa":false,"landing_page_url":"http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=14117","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W1533232858","https://openalex.org/W2056246162","https://openalex.org/W2066364675","https://openalex.org/W2113704261","https://openalex.org/W2123518587","https://openalex.org/W2128266748","https://openalex.org/W2135647799","https://openalex.org/W2144031751","https://openalex.org/W2144128007","https://openalex.org/W2144570112","https://openalex.org/W2158366624","https://openalex.org/W2244598421","https://openalex.org/W2318818482","https://openalex.org/W2333677440","https://openalex.org/W2697337584","https://openalex.org/W2741371467","https://openalex.org/W2747620798","https://openalex.org/W3004050393","https://openalex.org/W3023591372","https://openalex.org/W3121400309","https://openalex.org/W3121485137","https://openalex.org/W3121516048","https://openalex.org/W3121889295","https://openalex.org/W3122020290","https://openalex.org/W3122070388","https://openalex.org/W3122183263","https://openalex.org/W3122712023","https://openalex.org/W3123062155","https://openalex.org/W3123908576","https://openalex.org/W3124049593","https://openalex.org/W3124264635","https://openalex.org/W3124467146","https://openalex.org/W3124478777","https://openalex.org/W3124505455","https://openalex.org/W3124620790","https://openalex.org/W3124909920","https://openalex.org/W3125220992","https://openalex.org/W3125404604","https://openalex.org/W3126003609","https://openalex.org/W3126081245","https://openalex.org/W3126119978","https://openalex.org/W4236290419","https://openalex.org/W4250961157"],"related_works":["https://openalex.org/W3022603694","https://openalex.org/W2133541752","https://openalex.org/W3121435877","https://openalex.org/W7213263505","https://openalex.org/W2513591676","https://openalex.org/W4388470111","https://openalex.org/W2265834017","https://openalex.org/W4386215813","https://openalex.org/W2911280513","https://openalex.org/W2074910110"],"abstract_inverted_index":{"ABSTRACT":[0],"We":[1,18],"develop":[2],"a":[3,25,42,54],"new":[4],"approach":[5],"to":[6],"modeling":[7],"dynamics":[8],"in":[9,49,99],"cash":[10,21,38],"flows":[11],"extracted":[12],"from":[13],"daily":[14,20,84],"firm\u2010level":[15],"dividend":[16,66,85],"announcements.":[17],"decompose":[19],"flow":[22,39],"news":[23,62],"into":[24],"persistent":[26,37,65],"component,":[27],"jumps,":[28],"and":[29,51,94],"temporary":[30],"shocks.":[31],"Empirically,":[32],"we":[33,59],"find":[34],"that":[35,61],"the":[36,64,83,95],"component":[40,68],"is":[41],"highly":[43],"significant":[44],"predictor":[45],"of":[46,97],"future":[47],"growth":[48,67,86],"dividends":[50],"consumption.":[52],"Using":[53],"log\u2010linearized":[55],"present":[56],"value":[57],"model,":[58],"show":[60],"about":[63,82],"predicts":[69],"stock":[70,100],"returns":[71],"consistent":[72],"with":[73],"asset":[74],"pricing":[75],"constraints":[76],"implied":[77],"by":[78],"this":[79],"model.":[80],"News":[81],"process":[87],"also":[88],"helps":[89],"explain":[90],"concurrent":[91],"return":[92],"volatility":[93],"probability":[96],"jumps":[98],"returns.":[101]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":8},{"year":2024,"cited_by_count":8},{"year":2023,"cited_by_count":8},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2018-06-13T00:00:00"}
