The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
---- Acknowledgments ----
We thank John Cochrane, Rick Green, Lars Hansen, John Heaton, Burton Hollifield, Christian Julliard, Oliver Linton, Bryan Routledge, Duane Seppi, Pietro Veronesi and seminar participants at Carnegie Mellon University, the University of Chicago, and the Sixth Annual Early Career Women in Finance Mini-Conference for helpful comments. We remain responsible for errors and omissions. Ghosh acknowledges financial support from Carnegie Mellon University. Constantinides acknowledges financial support from the Center for Research in Security Prices of the University of Chicago Booth School of Business. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.