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Predictability of Returns and Cash Flows

  • Ralph S.J. Koijen
  • Stijn Van Nieuwerburgh

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.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 16648.

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Date of creation: Dec 2010
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Publication status: 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.
Handle: RePEc:nbr:nberwo:16648
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