If one wants to estimate the sensitivity of stock price on economic data, one just fit a regression equation on change in current stock price w.r.t. change in contemporaneous (or lagged) value of that economic variable.
However, the stock price today is the discounted future values of all dividend payments in the future, and those dividends will depend on future revenue, cash-flows, tax rates etc, and which in turn will depend on the future values of economic variables.
So I wonder if fitting a regression equation on change in current stock price w.r.t. change in contemporaneous (or lagged) value of that economic variable really makes sense and correct approach to understand the sensitivity?
Any insight is highly appreciated.
