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Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
16 references·16 citing·48 second hopsampled
Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration (1992)Predictable Stock Returns in the United S…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The International Crash of October 1987 (1988)The International Crash of Oc…Stock prices, earnings, and expected dividends (1988)Stock prices, earnings, and e…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Integration vs. Segmentation in the Canadian Stock Market (1986)Integration vs. Segmentation …Cointegration and Tests of Present Value Models (1986)Cointegration and Tests of Pr…Testing asset pricing models with changing expectations and an unobservable market portfolio (1985)Testing asset pricing models …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Stock Market Returns and Inflation: Evidence from Other Countries (1983)Stock Market Returns and Infl…Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…A model of international asset pricing (1981)A model of international asse…Domestic Saving and International Capital Flows (1980)Domestic Saving and Internati…Asset returns and inflation (1977)Asset returns and inflationAN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS (1977)AN EMPIRICAL TEST OF THE ALTE…The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets (2019)The Pricing of Tail Risk and …U.S. and Latin American stock market linkages (2011)U.S. and Latin American stock…Spillover Effects Among the Greater China Stock Markets (2009)Spillover Effects Among the G…Time-series and cross-sectional excess comovement in stock indexes (2007)Time-series and cross-section…Investment restrictions and the cross-border flow of information: Some empirical evidence (2006)Investment restrictions and t…Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets (2005)Modeling equity market integr…Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003)Asymmetrical reaction to US s…Are the East Asian markets integrated? Evidence from the ICAPM (2003)Are the East Asian markets in…Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models (2001)Nonlinear predictability of s…Short-term and long-term price linkages between the equity markets of Australia and its major trading partners (1999)Short-term and long-term pric…Economic determinants of the correlation structure across international equity markets (1999)Economic determinants of the …The Performance of Japanese Mutual Funds (1997)The Performance of Japanese M…The long-run gains from international equity diversification: Australian evidence from cointegration tests (1995)The long-run gains from inter…Equilibrium asset prices and exchange rates (1995)Equilibrium asset prices and …Time nonseparability in aggregate consumption (1993)Time nonseparability in aggre…International asset pricing with alternative distributional specifications (1993)International asset pricing w…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)An Information Based Explanation of the Domestic Bias in International Equity Investment (1993)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Corporations: The Industrial Economics of Foreign Investment (1971)The analysis of household surveys (1997)Familiarity Breeds Investment (2001)The saving and investment nexus for China: evidence from cointegration tests (2005)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Smart Money, Noise Trading and Stock Price Behaviour (1993)Labor Income and Predictable Stock Returns (2005)Dating the timeline of financial bubbles during the subprime crisis (2011)
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References

  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1980Domestic Saving and International Capital Flows2,767 cited
  • 1977Asset returns and inflation2,701 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1981A model of international asset pricing807 cited
  • 1988Stock prices, earnings, and expected dividends567 cited
  • 1986Integration vs. Segmentation in the Canadian Stock Market439 cited
  • 1983Stock Market Returns and Inflation: Evidence from Other Countries404 cited
  • 1988The International Crash of October 1987394 cited
  • 1985Testing asset pricing models with changing expectations and an unobservable market portfolio293 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
  • 1977AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS276 cited

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  • 1986Cointegration and Tests of Present Value Models260 cited
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    • 1993International asset pricing with alternative distributional specifications132 cited
    • 2007Time-series and cross-sectional excess comovement in stock indexes132 cited
    • 1997The Performance of Japanese Mutual Funds125 cited
    • 2009Spillover Effects Among the Greater China Stock Markets125 cited
    • 2005Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets117 cited
    • 1995Equilibrium asset prices and exchange rates115 cited
    • 2011U.S. and Latin American stock market linkages113 cited
    • 2003Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model110 cited
    • 2003Are the East Asian markets integrated? Evidence from the ICAPM107 cited
    • 2001Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models105 cited
    • 1999Short-term and long-term price linkages between the equity markets of Australia and its major trading partners104 cited
    • 1995The long-run gains from international equity diversification: Australian evidence from cointegration tests97 cited
    • 1999Economic determinants of the correlation structure across international equity markets95 cited
    • 2006Investment restrictions and the cross-border flow of information: Some empirical evidence85 cited
    • 1993Time nonseparability in aggregate consumption84 cited
    • 2019The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets83 cited