Predictability of Returns and Cash Flows

33 Pages Posted: 12 Dec 2010 Last revised: 9 Jan 2011

See all articles by Ralph S. J. Koijen

Ralph S. J. Koijen

University of Chicago - Booth School of Business; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Stijn Van Nieuwerburgh

Columbia University Graduate School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR); ABFER

Multiple version iconThere are 4 versions of this paper

Date Written: January 6, 2011

Abstract

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries.

Keywords: return predictability, present-value moel, dividend growth predictability

JEL Classification: G10, G12, G14, G35

Suggested Citation

Koijen, Ralph S. J. and Van Nieuwerburgh, Stijn, Predictability of Returns and Cash Flows (January 6, 2011). Available at SSRN: https://ssrn.com/abstract=1723463 or http://dx.doi.org/10.2139/ssrn.1723463

Ralph S. J. Koijen

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

HOME PAGE: http://faculty.chicagobooth.edu/ralph.koijen/

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

National Bureau of Economic Research (NBER) ( email )

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Stijn Van Nieuwerburgh (Contact Author)

Columbia University Graduate School of Business ( email )

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New York, NY New York 10027
United States

HOME PAGE: http://https://www0.gsb.columbia.edu/faculty/svannieuwerburgh/

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR)

London
United Kingdom

ABFER ( email )

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