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

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  • Hamao, Yasushi
  • Campbell, John

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.

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File URL: http://dash.harvard.edu/bitstream/handle/1/3207694/campbell_predictableUSjapan.pdf
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Bibliographic Info

Paper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3207694.

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Date of creation: 1992
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Publication status: Published in Journal of Finance
Handle: RePEc:hrv:faseco:3207694

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