predictable by the dividend yield and that dividend predictability is clearly stronger than return predictability in medium … than 20% p.a.). In an economic assessment of this finding, we show that cash flow predictability is stronger in smaller and … volatility. …

with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple … predictability hypothesis, suggesting that time-aggregation of dividends eliminates significant information …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …

This article studies the link between the predictability of futures returns and the business cycle. Modelling the …

smaller countries, but generally not in larger countries. We also show that dividend predictability is weaker in countries … predictability is weaker. These findings indicate that the apparent lack of dividend predictability in the U.S. does not, in general …, extend to other countries. Rather, dividend predictability is driven by cross-country differences in firm characteristics …