| Quintiles | Panel A: Cash-flow news | ||
| 1 year | 1.5 year | 2 years | |
| 1 (low) | −0.0135 | −0.0066 | −0.0092 |
| (−0.5567) | (−0.3084) | (−0.4331) | |
| 2 | 0.002 | 0.0031 | −0.0091 |
| (0.3327) | (0.3004) | (−0.3642) | |
| 3 | 0.0064 | −0.0033 | −0.0024 |
| (0.2836) | (−0.5096) | (−0.6786) | |
| 4 | −0.004 | −0.004 | −0.0064 |
| (−0.1922) | (−0.2141) | (−0.3087) | |
| 5 (high) | 0.0003 | −0.0083 | −0.003 |
| (0.0094) | (−0.2928) | (−0.5624) | |
| 5 - 1 spread | 0.0138 | −0.0017 | 0.0062 |
| (0.4358) | (−0.1077) | (0.3756) | |
| Quintiles | Panel B: Discount-rate news | ||
| 1 year | 1.5 year | 2 years | |
| 1 (low) | 0.0036 | 0.0097 | 0.0062 |
| (0.1416) | (0.3652) | (0.3659) | |
| 2 | 0.0006 | 0.0022 | 0.0071 |
| (0.0147) | (0.155) | (0.4566) | |
| 3 | −0.0115 | 0.0002 | −0.0007 |
| (−0.4599) | (0.0184) | (−0.0536) | |
| 4 | 0.0058 | −0.0129 | 0.0115 |