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International evidence for the predictability of bond and stock returns

Clare, A.D. and Thomas, S.H. (1992) International evidence for the predictability of bond and stock returns Economics Letters, 40, (1), pp. 105-112. (doi:10.1016/0165-1765(92)90252-T).

Record type: Article

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.

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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

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Date deposited: 28 Feb 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: A.D. Clare
Author: S.H. Thomas

University divisions

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