@techreport{NBERw16263,
 title = "Predictive Regressions: A Present-value Approach",
 author = "Jules H. van Binsbergen and Ralph S.J. Koijen",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "16263",
 year = "2010",
 month = "August",
 URL = "http://www.nber.org/papers/w16263",
 abstract = {We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with R-squared values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates.},
}