EconPapers    
Economics at your fingertips  
 

Measuring the Persistence of Expected Returns

John Campbell ()

No 3305, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper summarizes earlier research On the sources of variation in monthly U.S. stock returns in the period 1927-88. A log-linear model is used to break unexpected returns into changing expectations about future dividends and changing expectations about future returns. Even though stock returns are not highly forecastable, the model attributes one-third of the variation in returns to changing expected returns, one-third to changing future dividends, and one-third to the covariance between these components. Changing expected returns have a large effect on the stock market because their movements are persistent and negatively correlated with changing expected dividends.

Date: 1990-03
Note: ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Published as The American Economic Review, Vol. 80, No. 2, pp. 43-47, (May 1990).

Downloads: (external link)
http://www.nber.org/papers/w3305.pdf (application/pdf)

Related works:
Journal Article: Measuring the Persistence of Expected Returns (1990) Downloads
Working Paper: Measuring the Persistence of Expected Returns (1990) Downloads
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:nbr:nberwo:3305

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w3305

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 ().

 
Page updated 2019-06-23
Handle: RePEc:nbr:nberwo:3305