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Author: | Kinnunen, J. Niskanen, J. |
Title: | The information content of cash flows and the random walk: evidence from the Helsinki stock exchange |
Journal: | Accounting and Business Research
1993 : SUMMER, VOL. 23:91, p. 263-272 |
Index terms: | FINLAND INFORMATION CASH FLOW RANDOM WALKS STOCK EXCHANGES |
Language: | eng |
Abstract: | Using a sample from the Helsinki Stock Exchange, this paper examines whether observed market reactions to unexpected cash flows are sensitive to the random walk assumption of cash flow behavior. The authors consider the random walk (with drift) model commonly used in related literature, and they consider cash flow expectations generated with individually estimated parsimonious univariate time series models and an index model. Market reactions to unexpected cash flows are indiscernible under the random walk assumption, while significant market reactions are found when expectations of cash flows are measured with models which better capture their time series properties. |
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