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Citations for "Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?"

by Clare, A D & Thomas, S H & Wickens, M R

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  1. Alexandra Krystalogianni & Sotiris Tsolacos, 2005. "Regime switching in yield structures and real estate investment," Journal of Property Research, Taylor & Francis Journals, vol. 21(4), pages 279-299, May.
  2. Migiakis, Petros M. & Bekiris, Fivos V., 2009. "Regime switches between dividend and bond yields," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 198-204, September.
  3. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
  4. Thomas J. Flavin & Michael R. Wickens, 2001. "A Risk Management Approach to Optimal Asset Allocation," Economics, Finance and Accounting Department Working Paper Series n1080301, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  5. Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
  6. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Groenewold, Nicolaas & Kan Tang, Sam Hak & Wu, Yanrui, 2008. "The profitability of regression-based trading rules for the Shanghai stock market," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 411-430.
  8. Manzoni, Katiuscia, 2002. "Modeling credit spreads: An application to the sterling Eurobond market," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 183-218.
  9. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo Group Munich.
  10. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge.
  11. Andrew Clare & James Seaton & Peter N Smith & Stephen Thomas, 2012. "BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500," Discussion Papers 12/11, Department of Economics, University of York.
  12. Ziliotto, Arianna & Serati, Massimiliano, 2015. "The semi-strong efficiency debate: In search of a new testing framework," Research in International Business and Finance, Elsevier, vol. 34(C), pages 412-438.
  13. Brooks, Chris & Persand, Gita, 2001. "The trading profitability of forecasts of the gilt-equity yield ratio," International Journal of Forecasting, Elsevier, vol. 17(1), pages 11-29.
  14. Angelos Kanas, 2009. "The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006," Journal of Economics and Finance, Springer, vol. 33(2), pages 111-127, April.
  15. Simon Hayes, 2001. "Leading indicator information in UK equity prices: an assessment of economic tracking portfolios," Bank of England working papers 137, Bank of England.
  16. Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance icma-dp2001-08, Henley Business School, Reading University.
  17. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
  18. Massimo Guidolin & Stuart Hyde, 2011. "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers 414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  19. Fabrice Herve, 2002. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers 2002-3, Laboratoire Orléanais de Gestion - université d'Orléans.
  20. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland.
  21. Flavin, Thomas & Wickens, Michael R., 2002. "Macroeconomic Influences on Optimal Asset Allocation," CEPR Discussion Papers 3144, C.E.P.R. Discussion Papers.
  22. Angelos Kanas, 2010. "A note on the relation between the equity risk premium and the term structure," Journal of Economics and Finance, Springer, vol. 34(1), pages 89-95, January.
  23. Pesaran, Mohammad Hashem, 2005. "Market efficiency today," CFS Working Paper Series 2006/01, Center for Financial Studies (CFS).
  24. Cuthbertson, Keith & Hyde, Stuart, 2002. "Excess volatility and efficiency in French and German stock markets," Economic Modelling, Elsevier, vol. 19(3), pages 399-418, May.
  25. Pesaran, M.H., 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," Cambridge Working Papers in Economics 1033, Faculty of Economics, University of Cambridge.
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