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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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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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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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Fixing Capital Gains : Symmetry, Consistency and Correctness in the Taxation of Financial Instruments
Bradford, David F. - 1996
A great deal of effort and ingenuity has been addressed to patching holes in the income tax attributable to realization accounting. A classic instance of the problem is the headachescreated by capital gains, whereby the taxpayer can choose to postpone recognition of gain and accelerate...
Persistent link: https://www.econbiz.de/10012473080
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Security Baskets and Index-Linked Securities
Gorton, Gary - 1991
Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate them. In this paper we study the existence and optimal...
Persistent link: https://www.econbiz.de/10012475296
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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