Does the Fed model travel well?: For short run tactical allocation, yes, but not for the long-haul
ap Gwilym, Owain, Seaton, James, Suddason, Karina and Thomas, Stephen (2004) Does the Fed model travel well?: For short run tactical allocation, yes, but not for the long-haul. Southampton, UK, University of Southampton, 19pp. (Discussion Papers in Accounting & Finance, (AF04-24) ).
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Description/Abstract
Equity markets are frequently valued on the basis of the relative yields of stocks and bonds. The most widely known of these comparisons is the Fed model. We extend previous research by examining the performance of this metric across six international markets and also relative to more traditional valuation measures such as earnings and dividend yields. We find the Fed model to be poor for explaining long-run returns but that it has some merit as a short-term tactical asset allocation tool.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Additional Information: | ISSN 1356-3548 |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HF Commerce > HF5601 Accounting |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 36390 |
| Date Deposited: | 24 May 2006 |
| Last Modified: | 28 Jun 2012 10:23 |
| Contributors: | ap Gwilym, Owain (Author) Seaton, James (Author) Suddason, Karina (Author) Thomas, Stephen (Author) |
| Date: | 2004 |
| Additional Information: | ISSN 1356-3548 |
| Status: | Unpublished |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/36390 |
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