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How Well Do Long-Term Bond Interest
Rates Predict Stock Market Returns?

Klaus Volpert
The Journal of Investing Summer 2013, 22 (2) 23-28; DOI: https://doi.org/10.3905/joi.2013.22.2.023
Klaus Volpert
is an associate professor in the Department of Mathematics and Statistics at Villanova University in Villanova, PA.
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  • For correspondence: klaus.volpert@villanova.edu
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Abstract

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

  • © 2013 Pageant Media Ltd
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The Journal of Investing: 22 (2)
The Journal of Investing
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Summer 2013
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How Well Do Long-Term Bond Interest
Rates Predict Stock Market Returns?
Klaus Volpert
The Journal of Investing May 2013, 22 (2) 23-28; DOI: 10.3905/joi.2013.22.2.023

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How Well Do Long-Term Bond Interest
Rates Predict Stock Market Returns?
Klaus Volpert
The Journal of Investing May 2013, 22 (2) 23-28; DOI: 10.3905/joi.2013.22.2.023
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  • Article
    • Abstract
    • MOVING AVERAGES
    • STABILITY OF THE PATTERN OVER TIME
    • MONTE CARLO SIMULATIONS
    • DO MARKET RETURNS PREDICT INTEREST RATES?
    • CONCLUSION AND OUTLOOK
    • ENDNOTES
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  • PDF (Subscribers Only)

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