The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.
Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration
Open accessAbstract
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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Citations
Cites
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Business conditions and expected returns on stocks and bonds
Fama, E. F., & French, K. R. (1989) · Journal of Financial Economics · doi:10.1016/0304-405x(89)90095-0 · Cited by 3,933
Dividend yields and expected stock returns
Fama, E. F., & French, K. R. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90020-7 · Cited by 3,556
Domestic Saving and International Capital Flows
Feldstein, M., & Horioka, C. (1980) · The Economic Journal · doi:10.2307/2231790 · Cited by 2,765
Fama, E. F., & Schwert, G. W. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90014-9 · Cited by 2,687
Stock Prices, Earnings, and Expected Dividends
Campbell, J., & Shiller, R. (1988) · Digital Access to Scholarship at Harvard (DASH) (Harvard University) · doi:10.2307/2328190 · Cited by 2,380
Self-citationStock returns and the term structure
Campbell, J. Y. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90045-6 · Cited by 2,249
Self-citationCorrelations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Predicting returns in the stock and bond markets
Keim, D. B., & Stambaugh, R. F. (1986) · Journal of Financial Economics · doi:10.1016/0304-405x(86)90070-x · Cited by 1,711
Stock Prices and Social Dynamics
Shiller, R. J., Fischer, S., & Friedman, B. M. (1984) · Brookings Papers on Economic Activity · doi:10.2307/2534436 · Cited by 1,610
Cited by
Foerster, S. R., & Karolyi, G. A. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00134 · Cited by 1,050
Chong, E., Han, C., & Park, F. C. (2017) · Expert Systems with Applications · doi:10.1016/j.eswa.2017.04.030 · Cited by 834
Market Integration and Investment Barriers in Emerging Equity Markets
Bekaert, G. (1995) · The World Bank Economic Review · doi:10.1093/wber/9.1.75 · Cited by 601
Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets
Bessembinder, H. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.637 · Cited by 538
Countercyclical currency risk premia
Lustig, H., Roussanov, N., & Verdelhan, A. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2013.12.005 · Cited by 355
Metadata
- Authors
- CAMPBELL, J. Y., & HAMAO, Y.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1992-03
- Volume
- 47
- Issue
- 1
- Pages
- 43-69
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2133641513
- Cited by
- 507
- References
- 33
- FWCI
- 58.22
- Type
- journal article
- Language
- en
- Open access
- bronze
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- CAMPBELL, J. Y., & HAMAO, Y. (1992). Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1992.tb03978.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
