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.
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页码：467 / 491
页数：25
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