We analyze the decomposition of the conditional, rather than the unconditional, variance of market returns based on an extension of the standard Campbell–Shiller approach. The relative importance of cash flow and discount rate news in determining the conditional variance of market returns exhibits significant variation over time and relates to economic conditions. The components of the conditional market variance outperform several benchmark variables, including the conditional market variance itself, in forecasting future market returns and realized variance across different horizons. The forecasts based on the conditional market variance components also provide sizable economic benefits compared with benchmark forecasts in an out-of-sample portfolio exercise where a myopic investor allocates her wealth between the market portfolio and a risk-free asset across different holding periods.

中文翻译：

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现金流量和贴现率的时间变化

我们基于标准 Campbell-Shiller 方法的扩展分析了市场收益的条件方差而非无条件方差的分解。现金流和贴现率新闻在确定市场回报的条件方差方面的相对重要性随着时间的推移表现出显着变化，并且与经济状况有关。条件市场方差的组成部分在预测未来市场回报和跨不同时期的已实现方差方面优于几个基准变量，包括条件市场方差本身。