Abstract

http://ssrn.com/abstract=1723463
 
 

References (123)



 
 

Citations (18)



 


 



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


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 Citation

Koijen, 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

Contact Information

Ralph S. J. Koijen
London Business School - Department of Finance ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stijn Van Nieuwerburgh (Contact Author)
New York University Stern School of Business, Department of Finance ( email )
44 West 4th Street
Suite 9-190
New York, NY 10012-1126
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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