The information content of lagged equity and bond yields

This paper compares the equity return forecasting ability of several measur es of the equity-bond yield differential, and investigates the gain from al lowing equity and bond yields to freely enter the forecasting equation. Bot h in-sample and out-of-sample evidence is provided. (C) 2000 Elsevier Scien ce S.A. All rights reserved. JEL classification: G10; G14.