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This paper discusses the predictability of aggregate returns and aggregate earnings．The accounting identity of Voulteenaho(2000，2002)is used to identify the relation between book-to-market ratio，expected returns，and expected earnings．This identity is further incorporated into the estimation system suggested by van Binsbergen and Koijen(2010)．The results show that both returns and earnings are predictable and are consistent with accounting identity proposed by Voulteenaho(2000，2002)．