| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3191 |
| 来源ID | Working Paper 3191 |
| Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration | |
| John Y. Campbell; Yasushi Hamao | |
| 发表日期 | 1989-12-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Economics |
| URL | https://www.nber.org/papers/w3191 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560477 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Yasushi Hamao. Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3191.pdf（325KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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