Using a new variable based on a model of dividend smoothing, we find dividend growth is highly predictable and cash flow news contributes importantly to return variability. Cash flow betas derived from this predictability are central to explaining the size effect in the cross section of returns....

We find that early exercise premiums of exchange-traded single-stock American puts, in excess of the GBM-world premium, can negatively predict future stock returns. Simulation evidence suggests that stock price jumps can positively drive the excess premium, while jumps can also negatively induce...