Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns

Contents:

Author Info

  • Harris, R.D.F.
  • Sanchez-Valle, R.

Abstract

A number of financial variables have been shown to be effective in explaining the time-series of aggregate returns in both the UK and US equity markets. These include, inter alia, the dividend yield, the spread between the yields on long and on short bonds, and lagged equity returns. Recently, however, the gilt-equity yield ratio -the ratio between the long bond yield and the equity dividend yield- has emerged as a variable that has considerable explanatory power for equity returns in the UK. This paper compares the performance of the gilt-Equity yield ratio with these other variables in the UK and US equity markets, prividing evidence on both ex post explanatory power and ex ante predictive ability.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9815.

as in new window
Length:
Date of creation: 1998
Date of revision:
Handle: RePEc:exe:wpaper:9815

Contact details of provider:
Postal: Streatham Court, Rennes Drive, Exeter EX4 4PU
Phone: (01392) 263218
Fax: (01392) 263242
Web page: http://business-school.exeter.ac.uk/about/departments/economics/
More information through EDIRC

Related research

Keywords: SHARES ; DIVIDENDS ; SECURITIES ; FINANCIAL MARKET;

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Estrada, Javier, 2009. "The fed model: The bad, the worse, and the ugly," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(2), pages 214-238, May.
  2. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
  4. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Research, National Bank of Belgium 73, National Bank of Belgium.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:exe:wpaper:9815. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carlos Cortinhas).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.