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The behaviour of the equity yield and its relation with the bond yield : the role of inflation
McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18
Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …
Persistent link: https://www.econbiz.de/10011963922
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Equity-bond returns correlation and the bond yield : evidence of switching behaviour from the G7 markets
Humpe, Andreas; McMillan, David G. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 3, pp. 415-444
Persistent link: https://www.econbiz.de/10011555125
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Equity/bond yield correlation and the FED model : evidence of switching behaviour from the G7 markets
Humpe, Andreas; McMillan, David G. - In: The journal of asset management 19 (2018) 6, pp. 413-428
Persistent link: https://www.econbiz.de/10011958115
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches
Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40
This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...
Persistent link: https://www.econbiz.de/10011556251
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The information content of the stock and bond return correlation
McMillan, David G. - In: Quantitative finance and economics 2 (2018) 3, pp. 757-775
Persistent link: https://www.econbiz.de/10012156853
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: International journal of forecasting 25 (2009) 2, pp. 373-399
Persistent link: https://www.econbiz.de/10003870067
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Does non-linearity help us understand, model and forecast UK stock and bond returns : evidence from the BEYR
McMillan, David G. - In: International review of applied economics 26 (2012) 1, pp. 125-143
Persistent link: https://www.econbiz.de/10009419538
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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Oil price shocks and stock-bond correlation
Ziadat, Salem Adel; Al Rababa'a, Abdel Razzaq; Ur … - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014486268