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Why Don't the Prices of Stocks and Bonds Move Together?
Barsky, Robert B. - 1986
The very low real interest rates on bonds in the 1970's were accompanied by a large drop in the value of common stocks relative to dividends and earnings. More generally, a number of authors have demonstrated that the real prices of debt and equity claims do not covary closely, and often move in...
Persistent link: https://www.econbiz.de/10012477022
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Stock-bond Return Correlation, Bond Risk Premium Fundamental, and Fiscal-monetary Policy Regime
Li, Erica X.N. - 2020
stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the … coexistence of positive bond risk premiums and the negative stock-bond return correlation. We show that two distinctive shocks …---the technology and investment shocks---drive positive and negative stock-bond return correlations under two policy regimes, but …
Persistent link: https://www.econbiz.de/10012481165
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Common Shocks in Stocks and Bonds
Cieslak, Anna - 2020
We propose an approach to identifying economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors'...
Persistent link: https://www.econbiz.de/10012482403
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The Determinants of Stock and Bond Return Comovements
Baele, Lieven - 2009
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …
Persistent link: https://www.econbiz.de/10012463390
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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
Sangvinatsos, Antonios - 2003
exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the …
Persistent link: https://www.econbiz.de/10012468608
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Riding the Bubble? Chasing Returns into Illiquid Assets
Yagan, Danny - 2014
Household investors chase stock market returns. Surveys suggest that households intend to "ride the bubble" by buying stocks early in a boom and selling stocks early in a bust. This implies that households use only liquid assets to chase returns. I test this prediction using inflows to fixed...
Persistent link: https://www.econbiz.de/10012458307
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When Bonds Matter : Home Bias in Goods and Assets
Coeurdacier, Nicolas - 2011
share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data … foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from …
Persistent link: https://www.econbiz.de/10012461098
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The Rate of Return to Corporate Capital and Factor Shares : New EstimatesUsing Revised National Income Accounts and Capital Stock Data
Poterba, James M. - 1999
This paper presents new evidence on the rate of return on tangible assets in the United" States, incorporating the recently-revised national accounts as well as new estimates of the" replacement cost of the reproducible physical capital stock. The pretax return on capital in the" nonfinancial...
Persistent link: https://www.econbiz.de/10012471737
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A Cross-Country Comparison of Old Age Financial Readiness in Asian Countries vs. the United States : The Case of Japan and the Republic of Korea
Ehrlich, Isaac; Yin, Yong - National Bureau of Economic Research - 2022
We pursue a cross-country comparison of relative financial readiness of older households in Japan and the Republic of Korea relative to the US. Our comparative analysis, using macro-level and harmonized longitudinal household financial data, covers the principal financial channels of old age...
Persistent link: https://www.econbiz.de/10012814424
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Testing the Theory of Common Stock Ownership
Boller, Lysle - 2020
We test if an increase in common ownership changes future expected profits with an event study method. We collect instances of a stock entering the S&P 500 index and identify its product market competitors. We measure the change in institutional and common ownership (with product market rivals)...
Persistent link: https://www.econbiz.de/10012481370