Predictability of Returns and Cash Flows

被引：90

作者：

Koijen, Ralph S. J. ^{[1
,2
]}

Van Nieuwerburgh, Stijn ^{[2
,3
,4
]}

机构：

[1] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] NYU, Dept Finance, Stern Sch Business, New York, NY 10012 USA

[4] Ctr Econ Policy Res, London EC1V 3PZ, England

来源：

ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 3 | 2011年 / 3卷

关键词：

return predictability; present value model; dividend growth predictability; EXPECTED STOCK RETURNS; BOOK-TO-MARKET; EQUITY PREMIUM; DIVIDEND YIELDS; TIME-SERIES; RISK; CONSUMPTION; EXPECTATIONS; REGRESSIONS; EXPLANATION;

D O I：

10.1146/annurev-financial-102710-144905

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：467 / 491

页数：25

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