Predictability of Returns and Cash Flows
Ralph Koijen and
Stijn Van Nieuwerburgh
No 16648, NBER Working Papers from National Bureau of Economic Research, Inc
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.
JEL-codes: G1 G11 G12 G14 G17 G35 (search for similar items in EconPapers)
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Published as Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
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