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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? The Economic Journal, 104, (423), pp. 303-315.

Record type: Article

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.

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Published date: March 1994
Organisations: Management

Identifiers

Local EPrints ID: 37385
URI: http://eprints.soton.ac.uk/id/eprint/37385
ISSN: 0013-0133
PURE UUID: 0a8af8b9-c7fe-420e-be39-228b18a54bff

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Date deposited: 12 Feb 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: A.D. Clare
Author: S.H. Thomas
Author: M.R. Wickens

University divisions

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