Knowledge of the one-month interest rate is useful in forecasting the sign, as well as the variance, of the excess return on stocks. The services of a portfolio manager who makes use of the forecasting model to shift funds between bills and stocks would be worth an annual management fee of 2 percent of the value of the assets managed. During 1954:4 to 1986:12, the variance of monthly retuns on the managed portfolio was about 60 percent of the variance of the returns on the value weighted index, whereas the average return was two basis points higher. Copyright 1989 by American Finance Association.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 44 (1989) Issue (Month): 5 (December) Pages: 1177-89 Download reference. The following formats are available: HTML,
plain text,
BibTeX,
RIS (EndNote),
ReDIF
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Other versions of this item:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.) This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.