33 Pages Posted: 12 Dec 2010 Last revised: 9 Jan 2011
Date Written: 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.
Keywords: return predictability, present-value moel, dividend growth predictability
JEL Classification: G10, G12, G14, G35
Suggested Citation: 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
By Andrew Ang