Friday, August 17, 2007

spx earnings yield LR linear regression

S&P 500 Earnings Yld
rr(yr) = (Earnings yld - ST int rate ) * 1.313 + .06



S&P 500 Equations
div NOT included:
R2
rr(yr) = (E yld - CPI) * 1.86 + 3.37% 7.57%
rr(yr) = (E yld - 10 y) * 1.60 + 8.92% 6.33%
rr(yr) = (E yld ) * 1.43 - 1.13% 5.53%
rr(yr) = (PE ) * (-.82)+21.75% 5.37%

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