Stock Return and Cash Flow Predictability: The Role of Volatility Risk
نویسندگان
چکیده
منابع مشابه
Stock Return and Cash Flow Predictability: The Role of Volatility Risk∗
We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the variance risk premium positively forecast both short-horizon returns and dividend growth rates. We also conf...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2177046