Kellard, Neil; Nankervis, John; Papadimitriou, Fotis - Money Macro and Finance Research Group - 2007
The purpose of this paper is to evaluate the ability of dividend ratios to predict the UK equity premium. Specifically …, we apply the Goyal and Welch (2003) methodology to equity premia derived from the UK FTSE All-Share index. This approach … UK equity premium contains an element of predictability. Moreover, out-of-sample the considered models outperform the …