From the Woodrow Wilson School, Princeton University and NBER and the Graduate School of Business, Columbia University, respectively. This research has been supported by the National Science Foundation and the John M. Olin Fellowship at the NBER (Campbell); and the Dean Witter Foundation and the Batterymarch Fellowship (Hamao). We are grateful to Daniel Hardy and Ludger Hentschel for able research assistance, to Daiwa Securities for providing some of the data, and to Jacob Boudoukh, Wayne Ferson, Kenneth Singleton, René Stulz, anonymous referees, and participants in the 1990 Western Finance Association meetings for helpful comments on earlier drafts of the paper.
Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
Article first published online: 30 APR 2012
1992 The American Finance Association
The Journal of Finance
Volume 47, Issue 1, pages 43–69, March 1992
How to Cite
CAMPBELL, J. Y. and HAMAO, Y. (1992), Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration. The Journal of Finance, 47: 43–69. doi: 10.1111/j.1540-6261.1992.tb03978.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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