CUTLER,POTERBA SUMMERS SPECULATIVE DYNAMICS 533 TABLE 2 Autocorrelations for stock and bond returns Autocorrelations-excess returns relative to short-term treasury bills Months averaged in autocorrelations Asset 1-12 13-24 25-36 37-48 49-60 61-72 73-84 85-96 Corporate equities (1960-1988) Australia 0-028 0-002 -0-022 0-007 0012 0-003 -0-013 0-004 0-034 Austria 0-116 0-070 -0040 -0-002 -0007 -0-024 0-007 0-012 -0-014 Belgium 0-200 0-018 0006 0-040 0-009 0-016 -0022 0-033 -0-014 Canada 0-057 0-002 -0032 -0-004 0-G07 0-007 -0014 0-019 0039 France 0-083 0007 -0021 0-023 0-003 0-000 -0001 0-030 0-022 Germany 0-138 0-029 -0-042 0-002 0-006 -0-003 -0024 -0-003 0-044 Italy 0-138 0044 -0-040 0-000 -0017 0019 0-031 -0-013 0-031 Japan 0-085 0020 -0025 0019 0-004 -0-016 0-010 0-017 -0-013 Netherlands 0-114 0-021 -0015 0-004 0-010 0-002 -0-022 -0005 0-036 Sweden 0-134 0-038 -0041 0-022 0-001 0000 0-002 -0011 0-035 Switzerland 0046 0-017 -0019 -0-017 0-020 -0-007 -0019 0-008 0022 U.K. 0-091 0002 -0015 -0015 0011 0009 -0005 0-010 0-019 U.S. 0-077 -0-002 -0029 0004 0-017 0-019 -0016 0-000 0-041 Average 0-101 0021 -0-026 0-006 0-006 0-019 -0007 0-008 0-022 (0-030) (0-004) (0-0091 (0-006) (0-014) (0-016) (0-008) (0-011) (0-005) United States 0-106 0-021 -0-017 -0005 -0-011 -0006 0-000 0-012 0-013 (1926-1988) (0-036) (0011) (0011) (0-011) (0011) (0-011) (0011) (0-011) (0-011) Long-term bonds (1960-1988) Australia 0-078 0-036 -0-013 -0-032 -0-010 0012 0014 0022 0-008 Austria 0-360 0-119 -0-046 -0-067 -0003 0-013 -0-010 0-060 0-056 Belgium 0-191 0-110 0-006 -0-005 -0006 -0-023 -0-022 0-025 0012 Canada 0116 0-032 -0-008 -0-007 -0015 -0-020 0011 0-002 0-004 France 0230 0-086 -0-009 -0011 -0012 -0039 0-004 -0-003 0047 Germany 0477 0-106 -0-033 -0-041 -0-055 -0029 -0024 0003 0-051 Italy 0514 0-115 -0-003 -0-026 -0049 0018 -0018 0-078 -0010 Japan 0-132 0-062 -0-028 -0-036 -0-024 0024 0056 0-008 -0032 Netherlands 0291 0-043 -0-026 -0-017 -0015 0-013 -0-001 0-006 0023 Sweden 0-116 -0007 0-004 -0-006 -0015 0031 0-008 0-004 -0006 Switzerland 0-266 0-083 -0010 -0-045 -0-014 -0020 0-030 -0-012 0-010 U.K. 0-299 0-026 0-003 -0-039 -0014 0-031 0-036 0017 0-006 U.S. 0-030 0027 -0012 -0-005 0-008 -0-016 0-000 -0006 -0-003 Average 0-238 0-064 -0013 -0026 -0-017 -0-002 0-006 0-012 0013 (0-015) (0-004) (0-005) (0005) (0-005) (0005) (0-005) (0-005) (0-005) United States 0033 0023 -0-010 0-001 0-009 -0010 0-004 0-000 0-000 (1926-1988) (0036) (0011) (0011) (0-011) (0-011)(0-011)(0-011) (0011) (0-011) Note.Each entry reports the average autocorrelation for the 1 or 12 months in the indicated time period.The autocorrelations are bias-adjusted,by adding 1/(T-j)to each entry,where T is the length of the time period, andJ is the autocorrelation.The standard error of the individual correlations is (T-k)s,as in Kendall (1973).The standard error of the average autocorrelation,shown in parentheses,adjusts the predicted standard error for the cross-correlation of the assets,as indicated in the text. several countries,we also report the average autocorrelation at each frequency.We view this as a summary indication of the autocorrelation pattern,not as a deep parameter which characterizes behaviour in all markets.To indicate the precision of this average, we calculate its standard error assuming that the estimated statistics(such as the average of twelve autocorrelations)exhibit a constant pairwise correlation across countries, Copyright 2001 All Rights Reserved