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Table 2 Pairwise correlations of CH GVD components with the US asset return predictors

From: What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets

 dpdyepdesvarntistsds\(GVD_{250}^{US}\)GVDnewGVDold
dp1          
dy0.981         
ep– 0.05– 0.051        
de0.510.50– 0.891       
svar0.300.22– 0.280.381      
ntis– 0.56– 0.550.07– 0.32– 0.261     
ts0.360.36– 0.220.460.160.201    
ds0.680.60– 0.520.740.62– 0.450.321   
\(GVD_{250}^{US}\)0.430.43– 0.070.250.10– 0.51– 0.130.311  
GVDnew0.460.480.160.08– 0.05– 0.120.320.080.071 
GVDold0.310.28– 0.130.260.18– 0.070.350.360.14– 0.031
  1. Notes: This table gives the pairwise correlations between the US predictors under study and the two components of GVD. The US variables are the dividend-price ratio (dp), the dividend yield (dy), the earnings-price ratio (ep), the dividend payout ratio (de), the stock market variance (svar), the net equity expansion (ntis), and two interest rate variables, i.e., the term spread (ts) and the default spread (ds). Moreover, we computed a US version of GVD (\(\mathrm {GVD_{250}^{US}}\)). The sample period runs from January 1999 to December 2017