Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - European Central Bank - 2006
a decomposition of EU banks' stock returns to cash-flow and expected return news components. The main findings are that … while the bulk of the variability of EU banks' stock returns is due to cash flow shocks, the expected return shocks are … relatively more important for larger than for smaller banks. Moroever, variables used in the literature as cash-flow proxies …