Essays on Asset Pricing

This thesis studies the relationships between asset prices and economic conditions, with a particular focus on the firm's cash flows. It consists of four chapters, which can be read independently. The common theme across all my papers is the relation between asset prices and macroeconomic dynamics. All chapters in this thesis document new empirical facts that help us understand how macroeconomic dynamics affect asset prices. I wrote a summary to clarify each papers' contribution as follows. The first paper [1] addresses the puzzle of why the dividend-price ratio in the U.S. cannot predict future dividend growth at the market level. The second paper [2] explores inflation non-neutrality in an international context and studies how inflation non-neutrality affects both the cash flow and return predictability. The third paper [3] addresses the question of why value premium waves and disappeared during the low inflation period. The fourth paper [4] studies the role of cash flow risk at the individual level and I find that investors fail to incorporate this risk into asset prices.