Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration

John Campbell and Yasushi Hamao

Journal of Finance, 1992, vol. 47, issue 1, 43-69

Abstract: This paper uses the predictability of monthly excess returns on U.S. and Japanese equity portfolios over the U.S Treasury bill rate to study the integration of long-term capital markets in these two countries. During the period 1971-90, similar variables, including the dividend-price ratio and interest-rate variables, help to forecast excess returns in each country. In addition, in the 1980s, U.S. variables help to forecast excess Japanese stock returns. There is some evidence of common movement in expected excess returns across the two countries, which is suggestive of integration of long-term capital markets. Copyright 1992 by American Finance Association.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (240)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819920 ... O%3B2-F&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration (1992)
Working Paper: Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration (1989)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:47:y:1992:i:1:p:43-69

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().