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Distress risk premia in expected stock and bond returns

Zhang, Andrew Jianzhong - In: Journal of banking & finance 36 (2012) 1, pp. 225-238

Persistent link: https://www.econbiz.de/10009411138

Integration of Stapled A-REIT, Stock and Bond Returns

Yong, Jaime Li Ping - 2010

market, whereas traditional A-REITs are integrated with the bond market. When examined on a quarterly basis, changes to …

Persistent link: https://www.econbiz.de/10013138976

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

Common shocks in stocks and bonds

Cieślak, Anna; Pang, Hao - 2020

Persistent link: https://www.econbiz.de/10012416787

Common Shocks in Stocks and Bonds

Cieslak, Anna - 2020

Persistent link: https://www.econbiz.de/10012848824

Spillover Effects Among Gold, Stocks, and Bonds

Sumner, Steven; Johnson, Robert; Soenen, Luc - 2012

can predict U.S. stock and bond market movements or vice versa. For the sample period from January 1970 until April 2009 … spillover from innovations in stocks to bond return volatility. Spillovers in terms of returns are higher during the early 1980s … bonds raises the question whether gold price movements can be used as a predictor for stocks and bond prices …

Persistent link: https://www.econbiz.de/10014043656