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Unspanned Global Macro Risks in Bond Returns

Zhao, Feng - 2020

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

Persistent link: https://www.econbiz.de/10012856793

Integration of Stapled A-REIT, Stock and Bond Returns

Yong, Jaime Li Ping - 2010

This paper examines stapled and traditional A-REITs, and their long-run relationships to common stocks, bonds, direct commercial real estate investments, and changes to consumer price inflation from December 1979 to June 2009. Stapled and traditional A-REIT indices are constructed from a sample...

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

Understanding the Performance of Components in Betting Against Beta

Han, Xing - 2019

modest portfolio turnover. Betting against correlation (BAC) yields similar findings, except that the two cross … firm size and stock correlation. Excluding micro-cap stocks, the performance of BAC shrinks more than that of BAB. Overall …

Persistent link: https://www.econbiz.de/10012897375

Betting Against Beta or Demand for Lottery

Bali, Turan G. - 2018

Frazzini and Pedersen (2014) document that a betting against beta strategy that takes long positions in low-beta stocks and short positions in high-beta stocks generates a large abnormal return of 6.6% per year and they attribute this phenomenon to funding liquidity risk. We demonstrate that...

Persistent link: https://www.econbiz.de/10012937830

Are Stock and Corporate Bond Markets Integrated? Evidence from Expected Returns

van Zundert, Jeroen - 2017

This study explores the cross-sectional integration of stock and corporate bond markets by comparing a firm's expected stock return, as implied by corporate bond spreads, to its realized stock return. We compute expected corporate bond returns by correcting credit spreads for expected losses due...

Persistent link: https://www.econbiz.de/10012971138

An Analytic Derivation and Comments on Betting Against Beta

Chen, Deng-Ta - 2014

I present a closed form solution to the OLG model in Frazzini and Pedersen (2014), and find that their OLG model of heterogeneous investors results in the zero-beta CAPM. I prove that the optimal amount to invest in risky assets for an investor is determined exactly by her risk aversion, margin...

Persistent link: https://www.econbiz.de/10013055309

Bond Return, Spread Change, and the Momentum Effect in Corporate Bond and Stock Markets

Fang, Ming - 2018

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond returns and bond credit spread changes. The...

Persistent link: https://www.econbiz.de/10012918313

The Low-Risk Effect, from Betting Against Beta to Betting Against Correlation

Pasetti, Tommaso; Montagna, Dennis Marco - 2022

contribution: Betting Against Correlation (BAC), a factor that goes long low correlation stocks and shorts high correlation ones …/Short portfolios for our best strategy Correlation Weighted qBAC, trying to evidence the main drivers for strategy’s performance and … critical issues in the last few years. To go further we built a "walking correlation analysis" that resulted useful to observe …

Persistent link: https://www.econbiz.de/10013309784

Exchange rates, bond yields and the stock market : nonlinear evidence of Indonesia during the COVID-19 period

Prananta, Billy; Alexiou, Constantinos - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 83-99

Purpose - The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic. Design/methodology/approach - The authors employ a non-linear autoregressive...

Persistent link: https://www.econbiz.de/10014497076

Betting against noisy beta

Lehnert, Thorsten - In: The Journal of finance and data science : JFDS 8 (2022), pp. 55-68

Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity...

Persistent link: https://www.econbiz.de/10014433683