Abstract
ABSTRACT Knowledge of the one‐month interest rate is useful in forecasting the sign as well as the variance of the excess return on stocks. The services of a portfolio manager who makes use of the forecasting model to shift funds between bills and stocks would be worth an annual management fee of 2% of the value of the assets managed. During 1954:4 to 1986:12, the variance of monthly returns on the managed portfolio was about 60% of the variance of the returns on the value weighted index, whereas the average return was two basis points higher.
Keywords
PortfolioCapitalization-weighted indexVariance (accounting)EconometricsEconomicsRate of return on a portfolioIndex (typography)Stock (firearms)Rate of returnFinancial economicsModern portfolio theoryStock market indexFinanceGeographyStock marketComputer scienceAccounting
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Publication Info
- Year
- 1989
- Type
- article
- Volume
- 44
- Issue
- 5
- Pages
- 1177-1189
- Citations
- 594
- Access
- Closed
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Cite This
William J. Breen,
Lawrence R. Glosten,
Ravi Jagannathan
(1989).
Economic Significance of Predictable Variations in Stock Index Returns.
The Journal of Finance
, 44
(5)
, 1177-1189.
https://doi.org/10.1111/j.1540-6261.1989.tb02649.x
Identifiers
- DOI
- 10.1111/j.1540-6261.1989.tb02649.x