Jul

19

Here is the Fed model update from the second section of the Monetary Policy Report that Bernanke submitted today:

…The spread between the twelve-month forward earnings-price ratio for the S&P 500 and a real long-run Treasury yield–a rough gauge of the equity risk premium–narrowed a bit and now stands close to the middle of its range of the past few years (…)

Separately, here's the art world's doppelganger of Alan Sokal.

Victor Niederhoffer replies:

A much better effort is the empirical regression of forecasted earnings e/p versus bond yield as the independent variable, and stock price change as dependent, as in my work with Laurel and Tom Downing.


Comments

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search