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Yield curves and international equity returns

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  • Ross McCown, James
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-42M1DTD-6/2/90fff38ed1aa2616df5f6a7adebaed10
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 25 (2001)
    Issue (Month): 4 (April)
    Pages: 767-788

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    Handle: RePEc:eee:jbfina:v:25:y:2001:i:4:p:767-788

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    Web page: http://www.elsevier.com/locate/jbf

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    1. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    2. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
    3. Cornell, Bradford, 1981. "The consumption based asset pricing model : A note on potential tests and applications," Journal of Financial Economics, Elsevier, vol. 9(1), pages 103-108, March.
    4. Ostdiek, Barbara, 1998. "The world ex ante risk premium: an empirical investigation," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 967-999, December.
    5. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure," Management Science, INFORMS, vol. 43(3), pages 371-385, March.
    6. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
    7. Asprem, Mads, 1989. "Stock prices, asset portfolios and macroeconomic variables in ten European countries," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 589-612, September.
    8. McCown, James Ross, 1999. "The Effects of Inverted Yield Curves on Asset Returns," The Financial Review, Eastern Finance Association, vol. 34(2), pages 109-26, May.
    9. Joseph E. Gagnon & Mark D. Unferth, 1993. "Is there a world real interest rate?," International Finance Discussion Papers 454, Board of Governors of the Federal Reserve System (U.S.).
    10. Boudoukh, Jacob & Richardson, Matthew & Smith, Tom, 1993. "Is the ex ante risk premium always positive? *1: A new approach to testing conditional asset pricing models," Journal of Financial Economics, Elsevier, vol. 34(3), pages 387-408, December.
    11. Arturo Estrella & Frederic S. Mishkin, 1996. "The yield curve as a predictor of U.S. recessions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Jun).
    12. Crucini, Mario J, 1997. "Country Size and Economic Fluctuations," Review of International Economics, Wiley Blackwell, vol. 5(2), pages 204-20, May.
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    Cited by:
    1. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.

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