Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
John Campbell () and
No 3191, NBER Working Papers from National Bureau of Economic Research, Inc
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Published as Journal of Finance, Volume 47, No. 1, pp. 43-69 March 1992
Downloads: (external link)
Journal Article: 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 (1992)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:3191
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().