An International Analysis of Earnings, Stock Prices and Bond Yields
Alain Durré () and
Pierre Giot
Journal of Business Finance & Accounting, 2007, vol. 34, issue 3‐4, 613-641
Abstract:
Abstract: This paper assesses the contemporaneous relationship between stock prices, earnings and long‐term government bond yields for a large number of countries. The time period of our data spans several decades. In a time series framework our analysis first tests the presence of a long‐term contemporaneous relationship between these three variables (the so‐called Fed model). Next, we assess if government bond yields play a significant role in the long‐run relationship. Our empirical results question the validity of the Fed model in the sense that we show that long‐term market movements are mainly driven by the earnings yield and not the differential between bond and earnings yields. As such, our analysis validates the results of Asness (2003) for a much larger collection of countries while using a dynamic time series (cointegration) framework. Finally, we also show that changes in long‐term government bond yields have a short‐term impact on stock prices.
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
https://doi.org/10.1111/j.1468-5957.2007.02010.x
Related works:
Working Paper: An international analysis of earnings, stock prices and Bond yields (2007)
Working Paper: An International Analysis of Earnings, Stock Prices and Bond Yields (2007)
Working Paper: An international analysis of earnings, stock prices and bond yields (2005) 
Working Paper: An international analysis of earnings, stock prices and bond yields (2005)
Working Paper: An international analysis of earnings, stock prices and bond yields (2005) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:34:y:2007:i:3-4:p:613-641
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0306-686X
Access Statistics for this article
Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker
More articles in Journal of Business Finance & Accounting from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().