Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework
提出一个时变现值模型，用非参数时变向量自回归分析股票收益与现金流的联合动态，发现预测模型不稳定且收益与现金流并非同时不可预测。
Abstract This paper proposes a novel time‐varying present‐value model to analyze the joint dynamics of stock returns and cash flows periodically. We use a nonparametric time‐varying vector autoregressive model to examine the economic implications of the time‐varying present‐value model. By conducting several nonparametric tests, we reject the stability of multivariate forecasting models and the null that stock returns and cash flows are simultaneously unpredictable in any given period. Additional bootstrap analyses show that under the null of unpredictable returns, dividend growth is highly predictable. Finally, the proposed time‐varying present‐value framework holds robustly for both the dividend–price ratio and the earnings–price ratio.