Is the gilt-equity yield ratio useful for predicting UK stock returns?
Clare, A.D., Thomas, S.H. and Wickens, M.R. (1994) Is the gilt-equity yield ratio useful for predicting UK stock returns? Economic Journal, 104, (423), 303-315.
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Description/Abstract
The ratio of a long government bond yield to the equity market dividend yield, the Gilt-Equity Yield Ratio (GEYR), is commonly used by analysts in the UK as a means of determining the cheapness of equity investment relative to investment in gilts. Analysts use the ratio to predict future movements in equity prices using buy/sell thresholds, implicitly assuming that there is a long-run arbitrage relation between the equity market and the government bond market. A formal econometric analysis confirms that the GEYR is indeed a useful predictor of equity returns in the UK.
| Item Type: | Article |
|---|---|
| Related URLs: | |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 37385 |
| Date Deposited: | 12 Feb 2007 |
| Last Modified: | 25 Apr 2013 14:04 |
| Contributors: | Clare, A.D. (Author) Thomas, S.H. (Author) Wickens, M.R. (Author) |
| Date: | March 1994 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/37385 |
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