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A note on the relation between the equity risk premium and the term structure

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  • Angelos Kanas

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  • Angelos Kanas, 2010. "A note on the relation between the equity risk premium and the term structure," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(1), pages 89-95, January.
    • Handle: RePEc:spr:jecfin:v:34:y:2010:i:1:p:89-95
    DOI: 10.1007/s12197-008-9069-8
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    References listed on IDEAS

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    1. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
    2. Clare, A D & Thomas, S H & Wickens, M R, 1994. "Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?," Economic Journal, Royal Economic Society, vol. 104(423), pages 303-315, March.
    3. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure," Management Science, INFORMS, vol. 43(3), pages 371-385, March.
    4. Estrella, Arturo & Hardouvelis, Gikas A, 1991. "The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
    5. Shiu‐Sheng Chen, 2007. "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 667-688, March.
    6. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    7. Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
    8. Whitelaw, Robert F, 2000. "Stock Market Risk and Return: An Equilibrium Approach," The Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 521-547.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Equity Risk Premium; Term Structure; Stochastic Regimes; Nonlinearity; Predictability; G1; E43;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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