Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Domestic Saving and International Capital Flows

1980 • 2,813 citations

Asset returns and inflation

1977 • 2,770 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

A model of international asset pricing

1981 • 846 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 585 citations

The International Crash of October 1987

1988 • 401 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS

1977 • 276 citations

Seasonal and Size Anomalies in the Japanese Stock Market

1985 • 266 citations

Stock Returns and the Term Structure

1985 • 256 citations

Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects

1985 • 256 citations

The Japanese financial system

1988 • 162 citations

The Pricing of Forward Contracts for Foreign Exchange

1985 • 142 citations

Integration vs. Segmentation in the Canadian Stock Market

1986 • 141 citations

Stock Market Returns and Inflation: Evidence from Other Countries

1983 • 114 citations

International Arbitrage Pricing Theory: An Empirical Investigation

1986 • 86 citations

The Relation Between Stock Prices and Inflationary Expectations: The International Evidence

1983 • 76 citations

Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets

1989 • 75 citations

Are Japanese stock prices too high?

1990 • 63 citations

Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan

1991 • 31 citations

Is it Risk? Explaining Deviations from Uncovered Interest Parity

1987 • 29 citations

The Term Structure of Euromarket Interest Rates: An Empirical Investigation

1986 • 23 citations

Financial reform in Japan

1983 • 13 citations