Date of this Version
Journal of Financial Economics
Several predetermined variables that reflect levels of bond and stock prices appear to predict returns on common stocks of firms of various sizes, long-term bonds of various default risks, and default-free bonds of various maturities. The returns on small-firm stocks and low-grade bonds are more highly correlated in January than in the rest of the year with previous levels of asset prices, especially prices of small-firm stocks. Seasonality is found in several conditional risk measures, but such seasonality is unlikely to explain, and in some cases is opposite to, the seasonal found in mean returns.
© 1986. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.
Keim, D. B., & Stambaugh, R. F. (1986). Predicting Returns in the Stock and Bond Markets. Journal of Financial Economics, 17 (2), 357-390. http://dx.doi.org/10.1016/0304-405X(86)90070-X
Date Posted: 27 November 2017
This document has been peer reviewed.