Breen, William; Glosten, Lawrence R; Jagannathan, Ravi - In: Journal of Finance 44 (1989) 5, pp. 1177-89
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...
