Stock Returns and the Term Structure
John Campbell ()
Scholarly Articles from Harvard University Department of Economics
In monthly U.S. data for 1959â€“1979 and 1979â€“1983, the state of the term structure of interest rates predicts excess stock returns, as well as excess returns on bills and bonds. This paper documents this fact and uses it to examine some simple asset pricing models. In 1959â€“1979, the data strongly reject a single-latent-variable specification of predictable excess returns. There is considerable evidence that conditional variances of excess returns change through time, but the relationship between conditional mean and conditional variance is reliably positive only at the short end of the term structure.
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Published in Journal of Financial Economics
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Journal Article: Stock returns and the term structure (1987)
Working Paper: Stock Returns and the Term Structure (1985)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3207699
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