Relative Excess Returns
基于股票、债券和国库券收益的无套利关系，提出“相对超额收益”方法，构建交易规则预测超额收益，实证显示该规则比传统策略更盈利，支持市场存在可预测的超额收益。
Building on a no‐arbitrage relationship suggested by Clare, Thomas and Wickens (1994) between the returns on equity, bonds and treasury bills, this paper develops what is termed a ‘relative excess returns’ approach to the understanding of movements in equity prices. This no‐arbitrage relationship is used to derive an explicit measure of excess returns, which incorporates both the excess returns to equity and bonds while netting out any unprofitable (i.e. market efficient) return predictability caused by time variation in the treasury bill rate. This measure can be related to a series of observable variables in a consistent manner and used to construct a trading rule aimed at forecasting excess returns. In a series of empirical experiments, this trading rule appears to be more ‘profitable’ than both the rule suggested by Clare et al. (1994) and the gilt‐equity yield ratio rule (used by many UK analysts to guide investment decisions), and outperforms the strategy of ‘buy and hold equity’. More generally, the analysis provides support for the existence of predictable excess returns — returns which cannot be attributed to time‐varying excess returns — and for the inefficient market explanation of predictable returns.