The Predictive Ability of the Bond-Stock Earnings Yield Differential Model

Klaus Berge; Giorgio Consigli; William T. Ziemba

doi:10.3905/jpm.2008.706245

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The Predictive Ability of the Bond-Stock Earnings Yield Differential Model

Klaus Berge, Giorgio Consigli and William T. Ziemba

The Journal of Portfolio Management Spring 2008, 34 (3) 63-80; DOI: https://doi.org/10.3905/jpm.2008.706245

Klaus Berge

a financial controller for Allianz SE in Munich, Germany.

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For correspondence: klaus.berge@allianz.com

Giorgio Consigli

An associate professor in the Department of Mathematics, Statistics, and Computer Science at the University of Bergamo in Bergamo, Italy.

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For correspondence: giorgio.consigli@unibg.it

William T. Ziemba

Alumni Professor of Financial Modeling and Stochastic Optimization, Emeritus at the University of British Columbia in Vancouver, BC, Canada., and Visiting Professor at the Mathematical Institute, Oxford University and the ICMA Centre, University of Reading.

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For correspondence: ziemba@interchange.ubc.ca

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The Journal of Portfolio Management

Vol. 34, Issue 3

Spring 2008

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The Predictive Ability of the Bond-Stock Earnings Yield Differential Model