Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?

Borja Larrain, Motohiro Yogo

NBER Working Paper No. 12847
Issued in January 2007, Revised in August 2009

---- Acknowledgements ----

For comments and discussions, we thank Andrew Abel, Tobias Adrian, Malcolm Baker, John Campbell, Jonathan Lewellen, Craig MacKinlay, Michael Roberts, Robert Stambaugh, Stanley Zin, and seminar participants at Dartmouth College, Federal Reserve Bank (FRB) of Boston, Federal Reserve Board, Harvard University, Massachusetts Institute of Technology, Singapore Management University, Wharton School, National Bureau of Economic Research (NBER) Asset Pricing Meeting 2005, Western Finance Association Annual Meeting 2006, and NBER Summer Institute Capital Markets and the Economy Workshop 2006. Maria Giduskova provided excellent research assistance. This paper was completed while Borja Larrain was an economist at the FRB of Boston. He thanks his colleagues there for a great research environment. The views expressed in this paper are solely those of the authors and do not reflect official positions of the Federal Reserve Bank of Boston, the Federal Reserve System, or the National Bureau of Economic Research.

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