Predictability of Returns and Cash Flows

Koijen, Ralph S. J.; Nieuwerburgh, Stijn Van

doi:10.1146/annurev-financial-102710-144905

Cited by 172 publications

(29 citation statements)

References 102 publications

(2 reference statements)

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“…I focus on the most important robustness checks here, and report additional results in the online appendix. 27 Alternative Measures of Firm Heterogeneity I: Sales-Based Measures. I …rst experiment with a number of alternative proxies for my key regressor d ix .…”

Section: Robustness Checksmentioning

confidence: 99%

Heterogeneous firm-level responses to trade liberalization: A test using stock price reactions

Breinlich

2014

Journal of International Economics

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This paper presents novel empirical evidence on key predictions of heterogeneous …rm models by examining stock market reactions to the Canada-United States Free Trade Agreement of 1989 (CUSFTA). I derive testable predictions for a class of models based on Melitz (2003). Using the uncertainty surrounding CUSFTA's rati…cation, I show that the pattern of abnormal returns of Canadian manufacturing …rms was strongly consistent with predictions related to export (U.S.) tari¤ reductions, but less so with predictions related to import (Canadian) tari¤ reductions. Lower Canadian tari¤s did have an e¤ect through the implied reduction in intermediate input tari¤s, however.

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Section: Robustness Checksmentioning

confidence: 99%

Heterogeneous firm-level responses to trade liberalization: A test using stock price reactions

Breinlich

2014

Journal of International Economics

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“…Taking into account recent concerns noted by Chen (2009), Van Binsbergen and Koijen (2010) and Koijen and Van Nieuwerburgh (2011), I do not reinvest dividends at the market return but instead aggregate them over the year by summing up monthly dividends. In addition to dividend growth being less volatile (Van Binsbergen and Koijen, 2010), this approach has several advantages.…”

Section: Datamentioning

confidence: 99%

“…This divergence can be explained by changes in the composition of publicly listed firms. Systematic differences in the 1 For recent surveys see Lettau and Ludvigson (2010) and Koijen and Van Nieuwerburgh (2011).…”

Section: Introductionmentioning

confidence: 99%

Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability

Jank

2015

Management Science

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability Terms of use: Documents in EconStor may S. JankChanges in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability *Stephan Jank * * November 16, 2012Abstract This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio is less persistent, in-sample evidence for predictability is more pronounced, there is greater parameter stability in the predictive regression (particularly during the 1990s), and there is evidence of out-of-sample predictability.

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“…26 Goyal and Welch (2008) and Koijen and Van Nieuwerburgh (2011) give an excellent review of this literature. Even though less studies have focused on dividend growth predictability, Lettau and Ludvigson (2005) and Favero, Gozluklu, and Tamoni (2011), among others, provide evidence that predictive variables like cay and proxies of demographics help forecasting cash flow growth.…”

Section: Broader Specifications Of the Predictive Information Setmentioning

confidence: 99%

Dividend Growth Predictability and the Price-Dividend Ratio

Piatti

Trojani

2012

SSRN Journal

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Conventional tests of present-value models tend to over-reject the null of no predictability, concluding that price-dividend ratio variations are due to both cash flow and discount rate shocks. We propose a nonparametric Monte Carlo testing method, which does not rely on distributional assumptions to aggregate the information from the time series of price-dividend ratios and dividend growth. We find evidence of return predictability, but no apparent evidence of dividend growth predictability, thus reconciling the diverging conclusions in the literature. Our findings are robust to the specification of the predictive information set and account for the intrinsic probability of detecting predictive relations by chance alone.

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Predictability of Returns and Cash Flows

Cited by 172 publications

References 102 publications

Heterogeneous firm-level responses to trade liberalization: A test using stock price reactions

Heterogeneous firm-level responses to trade liberalization: A test using stock price reactions

Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability

Dividend Growth Predictability and the Price-Dividend Ratio

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