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Predictability of Returns and Cash Flows

  • 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)

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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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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