If returns are not predictable, dividend growth must be predictable, to generate the observed variation in divided yields. I find that the absence of dividend growth predictability gives stronger evidence than does the presence of return predictability. Long-horizon return forecasts give the same strong evidence. These tests exploit the negative correlation of return forecasts with dividend-yie...

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. JEL classification: G10, G12, G14, G35.

This paper examineswhetherwe can improve the predictability of financial return series by exploiting the effect of cross-correlations among different financial markets. We forecast financial return series based on the support vector machines (SVM) method, which can surpass the random-walk model consistently. By comparing the mean absolute errors and the root mean squared errors, we show that it...