• Dividend growth, cash flow, and discount rate news 

      Garrett, Ian; Priestley, Richard (Journal article; Peer reviewed, 2012)
      Using a new variable based on a model of dividend smoothing, we find that dividend growth is highly predictable and that cash flow news contributes importantly to return variability. Cash flow betas derived from this ...
    • Dividend smoothing and predictability 

      Chen, Long; Da, Zhi; Priestley, Richard (Journal article; Peer reviewed, 2012)
      The relative predictability of returns and dividends is a central issue since it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, ...
    • Labor income, relative wealth concerns, and the cross section of stock returns 

      Gómez, Juan-Pedro; Priestley, Richard; Zapatero, Fernando (Journal article; Peer reviewed, 2016)
      The finance literature documents a relation between labor income and the cross-section of stock returns. One possible explanation for this is the hedg-ing decisions of investors with relative wealth concerns. This implies ...
    • Management compensation and market timing under portfolio constraints 

      Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard (Journal article; Peer reviewed, 2012)
      This paper shows that portfolio constraints have important implications for manage- ment compensation and performance evaluation. In particular, in the presence of portfolio constraints, allowing for benchmarking can be ...
    • Real investment and risk dynamics 

      Cooper, Ilan; Priestley, Richard (Journal article; Peer reviewed, 2011)
      The spread in average returns between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the Chen, Roll and Ross (1986) factors. In addition, ...
    • The duration of equity ownership at the Oslo Stock Exchange 1989-1999 

      Bøhren, Øyvind; Priestley, Richard; Ødegaard, Bernt Arne (Forskningsrapport;2/2006, Research report, 2006)
      To date little is known about how long equity ownership lasts, what determines its length, and whether ownership duration is related to rm performance. Using a unique time series of equity holdings over eleven years, ...
    • The expected returns and valuations of private and public firms 

      Cooper, Ilan; Priestley, Richard (Journal article; Peer reviewed, 2016)
      Characteristics play a similar role in describing returns in private rms as in public rms. This evidence suggests a causal e¤ect of optimal investment underlying the role of characteristics, as private rms do not have ...
    • The world business cycle and expected returns 

      Cooper, Ilan; Priestley, Richard (Journal article; Peer reviewed, 2013)
      We study the predictability of stock returns using a pure macroeconomic mea- sure of the world business cycle, namely the world's capital to output ratio. This variable tracks variation in expected stock returns in a ...