Economic Significance of Predictable Variations in Stock Index Returns
研究发现一个月期利率有助于预测股票超额收益的符号和方差，利用该模型在国库券和股票间调仓的基金经理每年可收取2%管理费，且管理组合的月收益方差仅为价值加权指数的60%，平均收益略高。
ABSTRACT Knowledge of the one‐month interest rate is useful in forecasting the sign as well as the variance of the excess return on stocks. The services of a portfolio manager who makes use of the forecasting model to shift funds between bills and stocks would be worth an annual management fee of 2% of the value of the assets managed. During 1954:4 to 1986:12, the variance of monthly returns on the managed portfolio was about 60% of the variance of the returns on the value weighted index, whereas the average return was two basis points higher.