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Predictability of Returns and Cash Flows

Author

Listed:
  • 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.

Suggested Citation

  • 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.
    • Handle: RePEc:anr:refeco:v:3:y:2011:p:467-491
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-102710-144905
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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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