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) ).

Download

[img]
Preview
PDF
Download (111Kb)

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
ePrint ID: 36390
Date Deposited: 24 May 2006
Last Modified: 27 Mar 2014 18:22
Publisher: University of Southampton
URI: http://eprints.soton.ac.uk/id/eprint/36390

Actions (login required)

View Item View Item