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Predictability of Returns and Cash Flows

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  • Ralph S.J. Koijen

    ()
    (Booth School of Business, University of Chicago, Chicago, Illinois 60637
    National Bureau of Economic Research, Cambridge, Massachusetts 02138)

  • Stijn Van Nieuwerburgh

    ()
    (National Bureau of Economic Research, Cambridge, Massachusetts 02138
    Department of Finance, Stern School of Business, New York University, New York, NY 10012
    Centre for Economic Policy Research, London EC1V 3PZ, United Kingdom)

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.

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Bibliographic Info

Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

Volume (Year): 3 (2011)
Issue (Month): 1 (December)
Pages: 467-491

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Handle: RePEc:anr:refeco:v:3:y:2011:p:467-491

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Related research

Keywords: return predictability; present-value model; dividend growth predictability;

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References

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Citations

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Cited by:
  1. Jäckel, Christoph, 2013. "Model uncertainty and expected return proxies," MPRA Paper 51978, University Library of Munich, Germany.
  2. Yashiv, Eran, 2012. "Frictions and the Joint Behavior of Hiring and Investment," IZA Discussion Papers 6636, Institute for the Study of Labor (IZA).
  3. Goswami, Gautam & Tan, Sinan, 2012. "Pricing the US residential asset through the rent flow: A cross-sectional study," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2742-2756.
  4. Yashiv, Eran, 2011. "The Joint Behavior of Hiring and Investment," CEPR Discussion Papers 8237, C.E.P.R. Discussion Papers.
  5. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.

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