Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration
利用1971-1990年美国和日本股票超额回报的可预测性，研究两国长期资本市场的一体化程度。股息价格比和利率等变量能预测两国回报，且美国变量在80年代可预测日本回报，表明预期回报存在共同波动。
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.