English, Article, Journal or magazine article edition: Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration John Y. Campbell; Yasushi Hamao

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Bookmark: http://trove.nla.gov.au/version/141816
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
Author
  • John Y. Campbell
  • Yasushi Hamao
Physical Description
  • preprint
Notes
  • 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 forecsst 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.
  • RePEc:nbr:nberwo:3191
Language
  • English
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