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The diversification discount: cash flows vs. returns

Опубликовано на портале: 02-10-2003
Journal of Finance. 2001.  Vol. 56. No. 5. P. 1693-1721. 
Diversified firms have different values than comparable portfolios of single-segment firms. These value differences must be due to differences in either future cash flows or future returns. Expected security returns on diversified firms vary systematically with relative value. Discount firms have significantly higher subsequent returns than premium firms. Slightly more than half of the cross-sectional variation in excess values is attributable to variation in expected future cash flows, with the remainder attributable to variation in expected future returns and to covariation between cash flows and returns.

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