Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
研究1971年至1989年间美国和日本股票超额收益的可预测性，发现股息价格比和利率变量能预测两国收益，且美国变量在1980年代可预测日本收益，表明长期资本市场存在一体化。
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 forecsst 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.