Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
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 1971-90, similar variables, including the dividend-price ratio and interest-rate variables, help to forecast excess returns in each country. In addition, in the 1980s, 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. Copyright 1992 by American Finance Association.
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Volume (Year): 47 (1992)
Issue (Month): 1 (March)
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