dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with … earnings growth, payout ratios and the short rate as state variables. We use this model imposing a constant risk premium to … examine the finite sample evidence on predictability. Not only do we find the short rate to be a relevant state variable …

dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with … earnings growth, payout ratios and the short rate as state variables. We use this model imposing a constant risk premium to … examine the finite sample evidence on predictability. Not only do we find the short rate to be a relevant state variable …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …