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

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market... 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

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

The Journal of Finance , Volume 47 (1) – Mar 1, 1992

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References (50)

Publisher
Wiley
Copyright
1992 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1992.tb03978.x
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

The Journal of FinanceWiley

Published: Mar 1, 1992

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