This is a summary of links featured on Quantocracy on Saturday, 09/08/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Earnings yields, equity carry and risk premia [SR SV]Forward earnings yields and equity carry are plausible indicators of risk premia embedded in equity index futures prices. Data for a panel of 25 developed and emerging markets from 2000 to 2018 show that index forward earnings yields have been correlated with market uncertainty across countries and time. Earnings yields have been highest in emerging countries. However, equity carries have not,