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，基于此模型调整资金配置的投资组合经理可收取2%年管理费，且管理组合的月回报方差仅为价值加权指数的60%，平均回报高出2个基点。
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.