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File name: SSRN-id1735417. ; Size: 257K
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Predictability of Returns and Cash Flows
Ralph S. J. Koijen
University of Chicago - Booth School of Business
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
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.
Number of Pages in PDF File: 33
Keywords: return predictability, present-value moel, dividend growth predictability
JEL Classification: G10, G12, G14, G35
working papers series
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Date posted: December 12, 2010
; Last revised: January 9, 2011
Suggested CitationKoijen, Ralph S. J. and Van Nieuwerburgh, Stijn, Predictability of Returns and Cash Flows (January 6, 2011). Available at SSRN: http://ssrn.com/abstract=1723463 or http://dx.doi.org/10.2139/ssrn.1723463
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