کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
998255 | 1481473 | 2007 | 17 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: The information content of the Bond–Equity Yield Ratio: Better than a random walk? The information content of the Bond–Equity Yield Ratio: Better than a random walk?](/preview/png/998255.png)
Since the 1990s run up in stock prices and the subsequent crashes, the financial community has taken a dim view of the traditional valuation ratios and has instead turned its attention to a new valuation ratio: the Bond–Equity Yield Ratio (BEYR). In this paper we provide the first comprehensive statistical assessment, both in-sample and out-of-sample, of the fundamental short-term reversion dynamics of the BEYR towards its long-term mean. Using cointegrated VAR models, we show that the BEYR can depart from its long-term relationship for an extended period of time before the reversion process finally brings it back to equilibrium. The out-of-sample forecasting analysis, based on both equally and superior predictive ability tests, shows that the cointegrated VAR model does not perform better than a naïve random walk. As such, we cast doubt on the ability of the BEYR to predict monthly stock returns.
Journal: International Journal of Forecasting - Volume 23, Issue 2, April–June 2007, Pages 289–305