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- W2153487259 abstract "This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First, is there a long-term contemporaneous relationship between earnings, stock prices and government bond yields? Second, does a deviation from this possible long-run equilibrium impact stock prices such that the equilibrium is restored? Third, do government bond yields play a significant role in the long-run relationship or does the latter only involve stock prices and earnings? We also study the short-term impact of changes in long-term government bond yields on stock prices and discuss our short-term and long-term results in light of the recent developments regarding the so-called Fed model." @default.
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- W2153487259 date "2005-01-01" @default.
- W2153487259 modified "2023-10-14" @default.
- W2153487259 title "An International Analysis of Earnings, Stock Prices and Bond Yields" @default.
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- W2153487259 doi "https://doi.org/10.2139/ssrn.1690509" @default.
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