RT Journal Article
SR Electronic
T1 How Well Do Long-Term Bond Interest<br/>Rates Predict Stock Market Returns?
JF The Journal of Investing
FD Institutional Investor Journals
SP 23
OP 28
DO 10.3905/joi.2013.22.2.023
VO 22
IS 2
A1 Klaus Volpert
YR 2013
UL https://pm-research.com/content/22/2/23.abstract
AB We observe that over the last 50 years, long-term interest rates in the U.S. have had a remarkable record of predicting stock-market returns, specifically in the 16- to 17-year range. We quantify this phenomenon and test via standard models and Monte Carlo simulations whether such a phenomenon is likely to arise by chance. We show that the probability for that is small, but not negligible.TOPICS: Performance measurement, simulations