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Predictability of Returns and Cash Flows

Ralph Koijen and Stijn Van Nieuwerburgh

No 16648, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G1 G11 G12 G14 G17 G35 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-bec
Note: AP EFG
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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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