Working Paper: NBER ID: w16648
Authors: Ralph S.J. Koijen; Stijn Van Nieuwerburgh
Abstract: 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.
Keywords: Predictability; Returns; Cash Flows; Asset Pricing; Dividend Growth
JEL Codes: G1; G11; G12; G14; G17; G35
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| reinvestment assumptions (G11) | predictability of returns (G17) |
| high dividend-price ratio (G35) | higher return (G11) |
| dividend growth rates (G35) | return predictability (C53) |
| predictability of returns (G17) | predictability of dividend growth (G35) |