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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).

Record type: Monograph (Discussion Paper)

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.

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Published date: 2004
Additional Information: ISSN 1356-3548

Identifiers

Local EPrints ID: 36390
URI: http://eprints.soton.ac.uk/id/eprint/36390
PURE UUID: b2663a7a-3a0d-4ccc-b22b-d18d3e0fdbfe

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Date deposited: 24 May 2006
Last modified: 17 Jul 2017 15:45

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Contributors

Author: Owain ap Gwilym
Author: James Seaton
Author: Karina Suddason
Author: Stephen Thomas

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