Understanding Predictability
构建了一个多证券一般均衡模型，其中投资者风险偏好和股息增长预期随时间变化，解释了股息收益率为何难以预测回报和股息增长，并提出了改进的线性预测回归方法。
We propose a general equilibrium model with multiple securities in which investors' risk preferences and expectations of dividend growth are time-varying. While time-varying risk preferences induce the standard positive relation between the dividend yield and expected returns, time-varying expected dividend growth induces a negative relation between them. These offsetting effects reduce the ability of the dividend yield to forecast returns and eliminate its ability to forecast dividend growth, as observed in the data. The model links the predictability of returns to that of dividend growth, suggesting specific changes to standard linear predictive regressions for both. The model's predictions are confirmed empirically.