Woodrow Wilson School, Princeton University and International Finance Division, Board of Governors of the Federal Reserve System. This paper was presented at the annual meeting of the American Finance Association, Washington DC, December 1990. We are grateful to Ben Bernanke, Robert Stambaugh, and two anonymous referees for helpful comments, and to Rick Mishkin for assistance with the data. Campbell acknowledges financial support from the National Science Foundation and the Sloan Foundation. The opinions expressed in this paper are those of the authors and do not necessarily reflect the views of the Board of Governors or other employees of the Federal Reserve System.
What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
Article first published online: 30 APR 2012
1993 The American Finance Association
The Journal of Finance
Volume 48, Issue 1, pages 3–37, March 1993
How to Cite
CAMPBELL, J. Y. and AMMER, J. (1993), What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns. The Journal of Finance, 48: 3–37. doi: 10.1111/j.1540-6261.1993.tb04700.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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