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A Model of the U.K. Equity Premium

Опубликовано на портале: 21-06-2006
Watson Wyatt Technical Paper. 2002.  No. 2002-TR-25 .
The paper analyses the behaviour of the equity premium in the UK. We find that lagged dividend ratios, bill returns and time series factors all play a statistically significant role in explaining the historical variation of the equity premium. Our analysis finds that the conditional variance of the equity premium also changes over time. A time series model which includes GARCH effects leads to a significant improvement in model fit.

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http://ssrn.com/abstract=892763
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