International evidence for the predictability of bond and stock returns
International evidence for the predictability of bond and stock returns
A number of authors have identified a small set of economic variables which can predict excess US stock and bond returns. In this paper we extend these results by estimating models for Germany, Japan, the UK and the US which include both financial and ‘technical’ variables, and achieve a much higher degree of explanatory power than in earlier studies. In particular we find – a role for the change in the term structure of interest rates in predicting equity returns; that the ‘technical’ variables have a role in predicting both bond and equity returns; and that there is strong seasonality in both the bond and stock markets of the UK.
105-112
Clare, A.D.
e9a9923a-dee5-4521-a5e1-d404befa7069
Thomas, S.H.
51ff3b62-89ae-4190-8a9e-ed4a76c8297c
1992
Clare, A.D.
e9a9923a-dee5-4521-a5e1-d404befa7069
Thomas, S.H.
51ff3b62-89ae-4190-8a9e-ed4a76c8297c
Clare, A.D. and Thomas, S.H.
(1992)
International evidence for the predictability of bond and stock returns.
Economics Letters, 40 (1), .
(doi:10.1016/0165-1765(92)90252-T).
Abstract
A number of authors have identified a small set of economic variables which can predict excess US stock and bond returns. In this paper we extend these results by estimating models for Germany, Japan, the UK and the US which include both financial and ‘technical’ variables, and achieve a much higher degree of explanatory power than in earlier studies. In particular we find – a role for the change in the term structure of interest rates in predicting equity returns; that the ‘technical’ variables have a role in predicting both bond and equity returns; and that there is strong seasonality in both the bond and stock markets of the UK.
This record has no associated files available for download.
More information
Published date: 1992
Identifiers
Local EPrints ID: 37388
URI: http://eprints.soton.ac.uk/id/eprint/37388
ISSN: 0165-1765
PURE UUID: 3d571a78-6505-409a-826f-29267b7524fe
Catalogue record
Date deposited: 28 Feb 2007
Last modified: 15 Mar 2024 07:58
Export record
Altmetrics
Contributors
Author:
A.D. Clare
Author:
S.H. Thomas
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics