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Predictability of returns and cash flows

Journal

Annual Review of Financial Economics

Subject

Finance

Publishing details

Annual Review of Financial Economics 2011 December Vol 3 p 467-491

Authors / Editors

Koijen RSJ;Van Nieuwerburgh S

Publication Year

2011

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.

Publication Research Centre

Institute of Finance and Accounting

Available on ECCH

No


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