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dc.contributor.authorCampbell, John
dc.contributor.authorHamao, Yasushi
dc.date.accessioned2009-08-12T20:48:23Z
dc.date.issued1992
dc.identifier.citationCampbell, 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.en
dc.identifier.issn0022-1082en
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:3207694
dc.description.abstractThis 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.en
dc.description.sponsorshipEconomicsen
dc.language.isoen_USen
dc.publisherBlackwell Publishingen
dc.relation.isversionofhttp://dx.doi.org/10.2307/2329090en
dash.licenseLAA
dc.titlePredictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integrationen
dc.relation.journalJournal of Financeen
dash.depositing.authorCampbell, John
dc.identifier.doi10.2307/2329090*
dash.contributor.affiliatedCampbell, John


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