Predictability of Returns and Cash Flows
Ralph S. J. Koijen
London Business School - Department of Finance; National Bureau of Economic Research (NBER)
Stijn Van Nieuwerburgh
New York University Stern School of Business, Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)
January 6, 2011
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.
Number of Pages in PDF File: 33
Keywords: return predictability, present-value moel, dividend growth predictability
JEL Classification: G10, G12, G14, G35
Date posted: December 12, 2010 ; Last revised: January 9, 2011
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