Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2009
also report results on return predictability. We find large cross-country differences regarding return and dividend growth … predictability. For the US, we confirm Chen's (2008) finding of a 'tale of two periods' but with the important difference that short … predictability, but strong evidence of predictable dividend growth in the 'right' direction on both short and long horizons and over …