We estimate long-run consumption-based asset pricing models using a comprehensive set of international test assets … models has to be interpreted with care. …

about future dividends. We show that this finding changes substantially when looking at a broad international panel of … reason why dividends in countries with large and more stable firms are more difficult to predict is that these types of firms … smooth their dividend more, and dividend smoothing disconnects movements in future dividends from dividend yield fluctuations …

firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on … two latent prices, namely, the efficient firm value and the efficient exchange rate. I disentangle the effects on firm …