Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 1, 2023 erstellt
Description:
According to the log-linear return approximation, the ability of a predictor to predict future stock returns may arise from its ability to predict either the cash flows or the discount rates, or both. This paper introduces novel nonparametric approaches for estimating and testing the time variability in the predictability channels of the equity premium within a present-value framework. Using the recently proposed return predictors, including the measures of economic uncertainty and sentiment, we document strong time variation in both discount-rate and cash-flow channels. In comparison, the predictability of the equity premium through the cash-flow channel is more pronounced than through the discount-rate channel