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Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices

Barr, David G. - 1996

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate …

Persistent link: https://www.econbiz.de/10012473007

Efficient Tests of Stock Return Predictability

Campbell, John Y. - 2003

Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid...

Persistent link: https://www.econbiz.de/10012468672

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

Campbell, John Y. - 1986

A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector...

Persistent link: https://www.econbiz.de/10012476969

Predicting the Equity Premium Out of Sample : Can Anything Beat the Historical Average?

Campbell, John Y. - 2005

A number of variables are correlated with subsequent returns on the aggregate US stock market in the 20th Century. Some of these variables are stock market valuation ratios, others reflect patterns in corporate finance or the levels of short- and long-term interest rates. Amit Goyal and Ivo...

Persistent link: https://www.econbiz.de/10012467212

Asset Prices, Consumption, and the Business Cycle

Campbell, John Y. - 1998

This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features...

Persistent link: https://www.econbiz.de/10012472320