Fight the Fed Model

146 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

An International Analysis of Earnings, Stock Prices and Bond Yields (2005, methodology): “In a nutshell, when the earnings yield is below (above) the 10-year government bond yield, the stock market is supposed to be overvalued (undervalued).”
Inflation and the Stock Market: Understanding the 'Fed Model' (2009, background): “…stocks should equal the yield on nominal Treasury bonds, or at least that the two should be highly correlated.1 Both investment professionals (see for instance Asness (2003)) and academics (see for instance Thomas and Zhang (2008)) have long been struck by the strength of the empirical regularity.”
The Myth of Long-Horizon Predictability (2005, unknown): “The evidence is set forth as a yardstick for theoretical asset pricing models and is slowly penetrating the practitioner community [for two recent examples, see Brennan and Xia (2005) and Asness (2003)].”
Cross-sectional forecasts of the equity premium (2006, unknown): “Asness (2002) points out that, while seeming plausible, these arguments are flawed in the presence of significant and time-varying inflation.”