We develop a new approach to modeling dynamics in cash flow data extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly...

In this paper I show that information about fundamentals of the aggregate economy derived from closely held firms help predict stock returns. I construct a new economy-wide dividend price ratio that takes into account dividends and market capitalization of both listed (public) and non-listed...