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1、TheSocietyforFinancialStudiesStockReturnPredictability:IsitThere?Author(s):AndrewAngandGeertBekaertReviewedwork(s):Source:TheReviewofFinancialStudies,Vol.20,No.3(May,2007),pp.651-707Publishedby:OxfordUniversityPress.Sponsor:TheSocietyforFinancialStudies.Stable
2、URL:http://www.jstor.org/stable/4494784.Accessed:30/11/201108:13YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jspJSTORisanot-for-profitservicethathelpsscholars,research
3、ers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusteddigitalarchive.Weuseinformationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org.OxfordUniversityPressandT
4、heSocietyforFinancialStudiesarecollaboratingwithJSTORtodigitize,preserveandextendaccesstoTheReviewofFinancialStudies.http://www.jstor.orgStockReturnPredictability:IsitThere?AndrewAngColumbiaUniversityandNBERGeertBekaertColumbiaUniversity,NBERandCPERWeexamineth
5、epredictivepowerofthedividendyieldsforforecastingexcessreturns,cashflows,andinterestrates.Dividendyieldspredictexcessreturnsonlyatshorthorizonstogetherwiththeshortrateanddonothaveanylong-horizonpredictivepower.Atshorthorizons,theshortratestronglynegativelypre
6、dictsreturns.Theseresultsarerobustininternationaldataandarenotduetolackofpower.Apresentvaluemodelthatmatchesthedatashowsthatdiscountrateandshortratemovementsplayalargeroleinexplainingthevariationindividendyields.Finally,wefindthatearningsyieldssignificantlypre
7、dictfuturecashflows.(JELC12,C51,C52,E49,F30,G12)Inarationalno-bubblemodel,theprice-dividendratioistheexpectedvalueoffuturecashflowsdiscountedwithtime-varyingdiscountrates.Becauseprice-dividendratios,ordividendyields,varyovertime,dividendyieldvariabilitycanbeat
8、tributedtothevariationofexpectedcashflowgrowth,expectedfuturerisk-freerates,orriskpremia.The"conventionalwisdom"intheliterature(see,amongothers,Campbell,1991;Cochrane,1992)isthatag
