Le "modèle de la Fed" et la prévisibilité des rentabilités : sur un malentendu ça pourrait marcher

The aim of this paper is to empirically evaluate the "Fed model" and more generally to examine the relationship between the stock earning yield and the 10-year government bond yield for seven countries and over a time period spanning three decades. In particular, we assess the stability of the "Fed model" and investigate the adjustment process between the earning yield and the bond yield starting from stationary tests with/without break as well as linear and non-linear cointegration tests. We then determine whether the "Fed model" and the "Graham and Dodd model" (which presumes a linear relationship between the two yields) has in-sample and out-of-sample predictive ability in forecasting changes in stock prices.