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Predictability of Returns and Cash Flows

Ralph Koijen and Stijn Van Nieuwerburgh

Annual Review of Financial Economics, 2011, vol. 3, issue 1, 467-491

Abstract: We review the literature on return and cash-flow growth predictability from 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 model; dividend growth predictability (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G35 (search for similar items in EconPapers)
Date: 2011
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Working Paper: Predictability of Returns and Cash Flows (2010) Downloads
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