TY  - JOUR
AU  - Binsbergen,Jules H. van
AU  - Koijen,Ralph S.J.
TI  - Predictive Regressions: A Present-value Approach
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16263
PY  - 2010
Y2  - August 2010
UR  - http://www.nber.org/papers/w16263
L1  - http://www.nber.org/papers/w16263.pdf
N1  - Author contact info:
Jules H. van Binsbergen
Stanford University
Graduate School of Business
655 Knight Way
Stanford, CA 94306
Tel: 650 721 1353
E-Mail: jvb2@gsb.stanford.edu

Ralph Koijen
University of Chicago
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL 60637
Tel: 773/834-4199
E-Mail: ralph.koijen@chicagobooth.edu
AB  - 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.
ER  -