What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

John Campbell · John Matthew Ammer

400 citations0/0 files storedNational Bureau of Economic Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

This rened, is reprinted and summarined in Shi5er (1950) Earns uses leads of some variables a. well as conlemporaneous values.This is an informal way to allow for extra information that market participants may have about future macroecononuc developments.ology.Section 4 presents empirical results for U.S. data over the period 1052-1987, and section 5 concludes.

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1989Business conditions and expected returns on stocks and bonds 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1988Dividend yields and expected stock returns 1977Asset returns and inflation 1988Stock Prices, Earnings, and Expected Dividends 1985Stock Returns and the Term Structure 1987Cointegration and Tests of Present Value Models 1987Mean Reversion in Stock Prices: Evidence and Implications

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2008Flights and contagion—An empirical analysis of stock–bond correlations 2014Macroeconomic Drivers of Bond and Equity Risks 1993Movements in the Equity Premium 2009Return Decomposition 2011The Relation between Expected Returns, Realized Returns, and Firm Risk Characteristics*2008On the Reversal of Return and Dividend Growth Predictability: A Tale of Two Periods

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