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

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

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Title: Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
Author: Hamao, Yasushi; Campbell, John

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., and Yasushi Hamao. 1992. Predictable stock returns in the United States and Japan: A study of long-term capital market integration. Journal of Finance 47, no. 1: 43-69.
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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 1971-1990 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 some evidence of common movement in expected excess returns across the two countries, which is suggestive of integration of long-term capital markets.
Published Version: http://dx.doi.org/10.2307/2329090
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:3207694
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