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

  • John Y. Campbell
  • Yasushi Hamao

This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan during the period 1971:1-1989:3. The paper finds that 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 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://www.nber.org/papers/w3191.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 3191.

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Date of creation: Dec 1989
Date of revision:
Publication status: published as Journal of Finance, Volume 47, No. 1, pp. 43-69 March 1992
Handle: RePEc:nbr:nberwo:3191
Note: ME
Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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Web page: http://www.nber.org
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