Matches in SemOpenAlex for { <https://semopenalex.org/work/W1963841068> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W1963841068 endingPage "357" @default.
- W1963841068 startingPage "333" @default.
- W1963841068 abstract "A number of financial variables have been shown to be effective in explaining the time‐series of aggregate equity returns in both the UK and the US. These include, inter alia , the equity dividend yield, the spread between the yields on long and short government bonds, and the lagged equity return. Recently, however, the ratio between the long government bond yield and the equity dividend yield – the gilt‐equity yield ratio – has emerged as a variable that has considerable explanatory power for UK equity returns. This paper compares the predictive ability of the gilt‐equity yield ratio with these other variables for UK and US equity returns, providing evidence on both in‐sample and out‐of‐sample performance. For UK monthly returns, it is shown that while the dividend yield has substantial in‐sample explanatory power, this is not matched by out‐of sample forecast accuracy. The gilt‐equity yield ratio, in contrast, performs well both in‐sample and out‐of‐sample. Although the predictability of US monthly equity returns is much lower than for the UK, a similar result emerges, with the gilt‐equity yield ratio dominating the other variables in terms of both in‐sample explanatory power and out‐of‐sample forecast performance. The gilt‐equity yield ratio is also shown to have substantial predictive ability for long horizon returns." @default.
- W1963841068 created "2016-06-24" @default.
- W1963841068 creator A5009676556 @default.
- W1963841068 creator A5031397909 @default.
- W1963841068 date "2000-04-01" @default.
- W1963841068 modified "2023-09-27" @default.
- W1963841068 title "The Gilt‐Equity Yield Ratio and the Predictability of UK and US Equity Returns" @default.
- W1963841068 doi "https://doi.org/10.1111/1468-5957.00316" @default.
- W1963841068 hasPublicationYear "2000" @default.
- W1963841068 type Work @default.
- W1963841068 sameAs 1963841068 @default.
- W1963841068 citedByCount "22" @default.
- W1963841068 countsByYear W19638410682012 @default.
- W1963841068 countsByYear W19638410682013 @default.
- W1963841068 countsByYear W19638410682015 @default.
- W1963841068 countsByYear W19638410682017 @default.
- W1963841068 countsByYear W19638410682018 @default.
- W1963841068 countsByYear W19638410682019 @default.
- W1963841068 crossrefType "journal-article" @default.
- W1963841068 hasAuthorship W1963841068A5009676556 @default.
- W1963841068 hasAuthorship W1963841068A5031397909 @default.
- W1963841068 hasConcept C10138342 @default.
- W1963841068 hasConcept C105795698 @default.
- W1963841068 hasConcept C106159729 @default.
- W1963841068 hasConcept C111472728 @default.
- W1963841068 hasConcept C116168712 @default.
- W1963841068 hasConcept C121426499 @default.
- W1963841068 hasConcept C124972522 @default.
- W1963841068 hasConcept C138885662 @default.
- W1963841068 hasConcept C143801662 @default.
- W1963841068 hasConcept C149782125 @default.
- W1963841068 hasConcept C155530773 @default.
- W1963841068 hasConcept C162324750 @default.
- W1963841068 hasConcept C17744445 @default.
- W1963841068 hasConcept C184530449 @default.
- W1963841068 hasConcept C197640229 @default.
- W1963841068 hasConcept C199539241 @default.
- W1963841068 hasConcept C199728807 @default.
- W1963841068 hasConcept C200870193 @default.
- W1963841068 hasConcept C2777402642 @default.
- W1963841068 hasConcept C33923547 @default.
- W1963841068 hasConcept C59399099 @default.
- W1963841068 hasConcept C71110296 @default.
- W1963841068 hasConceptScore W1963841068C10138342 @default.
- W1963841068 hasConceptScore W1963841068C105795698 @default.
- W1963841068 hasConceptScore W1963841068C106159729 @default.
- W1963841068 hasConceptScore W1963841068C111472728 @default.
- W1963841068 hasConceptScore W1963841068C116168712 @default.
- W1963841068 hasConceptScore W1963841068C121426499 @default.
- W1963841068 hasConceptScore W1963841068C124972522 @default.
- W1963841068 hasConceptScore W1963841068C138885662 @default.
- W1963841068 hasConceptScore W1963841068C143801662 @default.
- W1963841068 hasConceptScore W1963841068C149782125 @default.
- W1963841068 hasConceptScore W1963841068C155530773 @default.
- W1963841068 hasConceptScore W1963841068C162324750 @default.
- W1963841068 hasConceptScore W1963841068C17744445 @default.
- W1963841068 hasConceptScore W1963841068C184530449 @default.
- W1963841068 hasConceptScore W1963841068C197640229 @default.
- W1963841068 hasConceptScore W1963841068C199539241 @default.
- W1963841068 hasConceptScore W1963841068C199728807 @default.
- W1963841068 hasConceptScore W1963841068C200870193 @default.
- W1963841068 hasConceptScore W1963841068C2777402642 @default.
- W1963841068 hasConceptScore W1963841068C33923547 @default.
- W1963841068 hasConceptScore W1963841068C59399099 @default.
- W1963841068 hasConceptScore W1963841068C71110296 @default.
- W1963841068 hasIssue "3-4" @default.
- W1963841068 hasLocation W19638410681 @default.
- W1963841068 hasOpenAccess W1963841068 @default.
- W1963841068 hasPrimaryLocation W19638410681 @default.
- W1963841068 hasRelatedWork W1483991848 @default.
- W1963841068 hasRelatedWork W1756905108 @default.
- W1963841068 hasRelatedWork W2008472458 @default.
- W1963841068 hasRelatedWork W2042459054 @default.
- W1963841068 hasRelatedWork W2768673559 @default.
- W1963841068 hasRelatedWork W2912402171 @default.
- W1963841068 hasRelatedWork W3121775553 @default.
- W1963841068 hasRelatedWork W3123683890 @default.
- W1963841068 hasRelatedWork W3125247890 @default.
- W1963841068 hasRelatedWork W4313594491 @default.
- W1963841068 hasVolume "27" @default.
- W1963841068 isParatext "false" @default.
- W1963841068 isRetracted "false" @default.
- W1963841068 magId "1963841068" @default.
- W1963841068 workType "article" @default.