Predictive Regressions: A Present-Value Approach

By Jules H. van Binsbergen, Ralph S. J. Koijen. 2010

477 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2c308bd9730bb918765190fcacb83a01bd6a9378

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Ralph S. J. Koijen
2. Guofu Zhou
3. Jules H. van Binsbergen
4. George Panayotov
5. Jun Tu
6. Gurdip Bakshi
7. Fuwei Jiang
8. Dashan Huang

In Economics and Econometrics

1. Guofu Zhou
2. Jun Tu
3. Ralph S. J. Koijen
4. Priti Bakhshi
5. George Panayotov
6. Gurdip Bakshi
7. Fuwei Jiang
8. Jules H. van Binsbergen

In Finance

1. Guofu Zhou
2. Jun Tu
3. Ralph S. J. Koijen
4. Jules H. van Binsbergen
5. Priti Bakhshi
6. George Panayotov
7. Gurdip Bakshi
8. Fuwei Jiang

Citations in the corpus

• Volatility in International Stock Markets: An Empirical Study during COVID-19 (2020, background): “…stock market returns because of false regressions, using different data mining approaches, etc., there is enough literature that proposes that stock market returns possess a foreseeable factor (Campbell and Thompson 2008; Cochrane 2008; Pástor and Stambaugh 2009; Van Binsbergen and Koijen 2010).”
• The Term Structure of Returns: Facts and Theory (2015, background): “Given the amount of (excess) volatility in short-term equity yields, this implies that dividend growth is almost perfectly predictable, which is counterfactual; see, for instance, Cochrane (2008) and Binsbergen and Koijen (2010) .”
• Robust econometric inference for stock return predictability (2011, unknown): “…expected returns and dividend growth from the cross-section of price-dividend ratios using the present value relationship that has been employed for predictability tests inter alia by Lettau and Ludvigson (2005), Cochrane (2008), Lettau and van Nieuwerburgh (2008), and Binsbergen and Koijen (2010).”
• Predictability of Returns and Cash Flows (2011, unknown): “Also, Binsbergen and Koijen (2010) show that lagged market returns mechanically predict dividend growth in this case. In contrast, the evidence for dividend growth predictability by the dividend-price ratio is substantially stronger under the cash- (or no) reinvestment assumption; left columns of Pa”
• Market Expectations in the Cross Section of Present Values (2012, unknown): “…paper builds on recent literature that exploits the present value relation to identify market expectations for returns and dividends, including van Binsbergen and Koijen (2010), Ghosh and Constantinides (2010), Ferreira and Santa-Clara (2010), Cochrane (2008a,b), Pástor, Sinha, and Swaminathan…”