Predictability of Returns and Cash Flows

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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Year of publication:	2010-12
Authors:	Van Nieuwerburgh, Stijn ; Koijen, Ralph S.J.
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	AP EFG 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. Number 16648
Classification:	G1 - General Financial Markets ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting ; G35 - Payout Policy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008776834