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| Author: | Campbell, J. Y. |
| Title: | Stock returns and the term structure. (!Asset pricing) |
| Journal: | Journal of Financial Economics
1987 : JUN, VOL. 18:2, p. 373-399 |
| Index terms: | TERM STRUCTURE OF INTEREST RATES RATE OF RETURN MODELS |
| Language: | eng |
| Abstract: | In monthly data of the United States for 1959-79 and 1979-83, the state of the term structure of interest rates predict excess returns on bills and bonds. This fact is documented and used to examine some simple asset pricing models. In 1959-79, the data strongly reject a single-latent-variable specification of predictable excess returns. There is considerable evidence that conditional variances of excess returns change through time, but the relationship between conditional mean and conditional variance is reliably positive only at the short end of the term structure. |
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