Stock Returns and the Term Structure

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Stock Returns and the Term Structure

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Title: Stock Returns and the Term Structure
Author: Campbell, John
Citation: Campbell, John Y. 1987. Stock returns and the term structure. Journal of Financial Economics 18, no. 2: 373-399.
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Abstract: In monthly U.S. data for 1959–1979 and 1979–1983, 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 1959–1979, 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.
Published Version: http://dx.doi.org/10.1016/0304-405X(87)90045-6
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:3207699
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