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Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?
7 references·14 citing·47 second hop
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? (1994)Is the Gilt-Equity Yield Ratio Useful for…Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Predictable Stock Returns in …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Dividend yields and expected stock returns (1988)Dividend yields and expected …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationBreaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500 (2013)Breaking into the blackbox: T…Data Snooping and Market-Timing Rule Performance (2011)Data Snooping and Market-Timi…Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective (2011)Can VAR models capture regime…The Market Timing Ability of UK Mutual Funds (2009)The Market Timing Ability of …DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET) (2008)DAILY VARIATION AND PREDICTIN…Investing for the Long-run in European Real Estate (2007)Investing for the Long-run in…An International Analysis of Earnings, Stock Prices and Bond Yields (2007)An International Analysis of …Is the predictability of emerging and developed stock markets really exploitable? (2006)Is the predictability of emer…Capital market efficiency and the predictability of daily returns (2006)Capital market efficiency and…Market efficiency today (2005)Market efficiency todayInternational evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks (2003)International evidence on the…The Behaviour of UK Stock Prices and Returns: is the Market Efficient? (1997)The Behaviour of UK Stock Pri…A Review of Wilkie's Stochastic Asset Model (1997)A Review of Wilkie's Stochast…An Analysis of Seasonality in the U.K. Equity Market (1995)An Analysis of Seasonality in…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks (2002)Stock market short-termism—an international perspective (2002)Integrated reporting decision usefulness: Mainstream equity market views (2018)Risk Taking by Mutual Funds as a Response to Incentives (1997)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Mutual Fund Flows and Performance in Rational Markets (2004)Performance, stock selection and market timing of the German equity mutual fund industry (2012)What style-timing skills do mutual fund “stars” possess? (2013)The market timing ability and return performance of Islamic equities: An empirical study (2015)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Domestic Saving and International Capital Flows (1980)Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Characterizing World Market Integration through Time (2007)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)U.K. STOCK RETURNS: PREDICTABILITY AND BUSINESS CONDITIONS (1995)Strategic Asset Allocation for Pension Plans (2006)The Econometrics of Financial Markets (2012)Behavioral Real Estate (2017)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977Asset returns and inflation2,701 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration512 cited

Cited by

  • 1997The Behaviour of UK Stock Prices and Returns: is the Market Efficient?79 cited
  • 2007Investing for the Long-run in European Real Estate66 cited
  • 2009The Market Timing Ability of UK Mutual Funds59 cited
  • 1995An Analysis of Seasonality in the U.K. Equity Market54 cited
  • 2011Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective44 cited
  • 2006Is the predictability of emerging and developed stock markets really exploitable?44 cited
  • 2005Market efficiency today39 cited
  • 1997A Review of Wilkie's Stochastic Asset Model38 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2013Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P50038 cited
  • 2006Capital market efficiency and the predictability of daily returns36 cited
  • 2008DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET)32 cited
  • 2003International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks32 cited
  • 2007An International Analysis of Earnings, Stock Prices and Bond Yields32 cited
  • 2011Data Snooping and Market-Timing Rule Performance31 cited