Predictability of Returns and Cash Flows

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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Year of publication:	2011
Authors:	Koijen, Ralph S.J. ; Nieuwerburgh, Stijn Van
Published in:	Annual Review of Financial Economics. - Annual Reviews, ISSN 1941-1367. - Vol. 3.2011, 1, p. 467-491
Publisher:	Annual Reviews
Subject:	return predictability \| present-value model \| dividend growth predictability

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Extent:	application/pdf
Type of publication:	Article
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G35 - Payout Policy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010603959