Predictability of Returns and Cash Flows

Ralph S.J. Koijen; Stijn Van Nieuwerburgh

doi:10.1146/annurev-financial-102710-144905

Annual Review of Financial Economics

Volume 3, 2011

Review Article

Predictability of Returns and Cash Flows

Ralph S.J. Koijen^1,2 and Stijn Van Nieuwerburgh^2,3,4
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¹Booth School of Business, University of Chicago, Chicago, Illinois 60637; email: [email protected] ²National Bureau of Economic Research, Cambridge, Massachusetts 02138 ³Department of Finance, Stern School of Business, New York University, New York, NY 10012; email: [email protected] ⁴Centre for Economic Policy Research, London EC1V 3PZ, United Kingdom
Vol. 3:467-491 (Volume publication date December 2011) https://doi.org/10.1146/annurev-financial-102710-144905
First published as a Review in Advance on July 06, 2011
© Annual Reviews

Abstract

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.

Keyword(s): dividend growth predictability, present-value model, return predictability

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2011-12-05

2025-06-13