If you need an accessible version of this item please contact JSTOR User Support

Economic Significance of Predictable Variations in Stock Index Returns

William Breen, Lawrence R. Glosten and Ravi Jagannathan
The Journal of Finance
Vol. 44, No. 5 (Dec., 1989), pp. 1177-1189
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328638
Stable URL: http://www.jstor.org/stable/2328638
Page Count: 13
  • Download PDF
  • Cite this Item

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support
Economic Significance of Predictable Variations in Stock Index Returns
Preview not available

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.

Page Thumbnails

  • Thumbnail: Page 
1177
    1177
  • Thumbnail: Page 
1178
    1178
  • Thumbnail: Page 
1179
    1179
  • Thumbnail: Page 
1180
    1180
  • Thumbnail: Page 
1181
    1181
  • Thumbnail: Page 
1182
    1182
  • Thumbnail: Page 
1183
    1183
  • Thumbnail: Page 
1184
    1184
  • Thumbnail: Page 
1185
    1185
  • Thumbnail: Page 
1186
    1186
  • Thumbnail: Page 
1187
    1187
  • Thumbnail: Page 
1188
    1188
  • Thumbnail: Page 
1189
    1189