IDEAS home Printed from https://ideas.repec.org/p/exe/wpaper/9815.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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.

Suggested Citation

  • Harris, R.D.F. & Sanchez-Valle, R., 1998. "The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns," Discussion Papers 9815, University of Exeter, Department of Economics.
    • Handle: RePEc:exe:wpaper:9815
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    Other versions of this item:

    Citations

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


    Cited by:

    1. David G McMillan, 2011. "Does the BEYR help predict UK sector returns?," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 146-156, June.

    More about this item

    Keywords

    SHARES ; DIVIDENDS ; SECURITIES ; FINANCIAL MARKET;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:exe:wpaper:9815. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sebastian Kripfganz (email available below). General contact details of provider: https://edirc.repec.org/data/deexeuk.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.