Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration / John Y. Campbell, Yasushi Hamao.

Format:

Book

Author/Creator:

Campbell, John Y.

Contributor:

National Bureau of Economic Research.

Hamao, Yasushi.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3191.

NBER working paper series no. w3191

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Predictable Stock Returns in the United States and Japan

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1989.

Summary:

This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan during the period 1971:1-1989:3. The paper finds that similar variables, including the dividend-price ratio and interest rate variables, help to forecast excess returns in each country. In addition, in the 1980's U.S. variables help to forecast excess Japanese stock returns. There is evidence of common movement in expected excess returns across the two countries, which is suggestive of integration of long-term capital markets.

Notes:

Print version record

December 1989.