The predictive ability of the dividend-price ratio for future stock returns does not necessarily imply that dividend-price ratios predict future stock prices. Stock returns consist of both a capital gain and a dividend yield component, and we show that predictability of stock returns by lagged...

Using a new variable based on a model of dividend smoothing, we find dividend growth is highly predictable and cash flow news contributes importantly to return variability. Cash flow betas derived from this predictability are central to explaining the size effect in the cross section of returns....

We show that the impact of foreign investors' portfolio flows on the domestic equity market depends crucially on the costs and ease of access to trading domestic securities. We examine all foreign portfolio flows in two long sub-samples where trading costs and market access are substantially...

Industry characteristics explain the cross section of investment returns among industries consisting primarily of private rms as well as among industries composed mostly of public rms. For both types of industries, common asset pricing models explain the cross-sectional variation of...

Firm level characteristics explain the cross section of investment returns of industry portfolios that include listed and unlisted firms. Moreover, common asset pricing models explain the cross-sectional variation of characteristic-based investment returns which include listed and unlisted...