Based on a vector autoregressive model, this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more prominent...

Based on a vector autoregressive model (VAR), this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more...

A simple manipulation of the cointegrated framework proposed by Lettau and Ludvigson (2001, 2004) allows to demonstrate that temporary fluctuations of the U.S. consumption-wealth ratio predict excess returns on international stock markets. This finding is the reflection of an important common,...