An International Analysis of Earnings, Stock Prices and Bond Yields
分析多国股票价格、收益与长期政府债券收益率之间的同期关系，检验Fed模型的有效性，发现长期市场变动主要由收益收益率驱动，而非债券与收益收益率之差。
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.