& Sun, L. (March 2002) Stock Market Uncertainty and the Relation between Stock and Bond Returns. Federal Reserve bank of Atlanta Working Paper 2002-3.1 - 38.Stivers Chris, and Sun Licheng, (2002), Stock Market Uncertainty and the Relation between Stock and Bond Returns, Working ...
Stock Market Uncertainty and the Relation between Stock and Bond Returns The authors examine how the co-movement between daily stock and Treasury bond returns varies with stock market uncertainty. They use the lagged implied vol... C Stivers,L Sun - 《Frb Atlanta Working Paper》 被引量: 63发...
Sanjoy Basu examined the effects of market capitalization and price/earnings ratios on investment returns in “The Relationship Between Earnings Yield, Market Value and Return for NYSE Common Stocks,” Journal of Financial Economics, December 1983.Professor Basu ranked all companies listed on the NYSE...
• Hedging activities of market makers influence the lead–lag relation. Abstract We analyze the lead–lag relation between VIX futures and SPX futures. The two futures markets are weakly connected when market volatility is low. By contrast, when volatility is high, their prices are highly negat...
We also correct for measurement error, and we show that including intangibles yields even larger improvements than using bond prices. Our paper is not the first to examine the empirical relation between intangible investment and Tobin’s q. Eisfeldt and Papanikolaou (2013) find a positive relation...
PURPOSE OF THE STUDYThis paper investigates the intranational dynamic relationship between daily stock and government bond returns of selected countries between January 1, 1999 and December 31, 2010 to assess financial market stability in different countries and market conditions. The underlying hypothesis...
The stock-bond comovements and cross-market trading We propose an asset pricing model with heterogeneous agents allocating capital to the stock and bond markets to optimize their portfolios, utilizing the dy... M Li,H Zheng,TTL Chong,... - 《Journal of Economic Dynamics & Control》 被引量:...
The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach Several studies have established the predictive power of the yield curve i.e. the difference between long and short-term bond rates and the role of asymmet... A Christos,B Mizrach...
As an innovative feature of our empirical model, we used long-term government bond yields in order to explain this risk-return relation. Our research suggests that stock market investors should use long-term government bond yield for the UK and term spread for the US in order to instrument ...
Stivers, and Licheng Sun, 2005, "Stock Market Uncertainty and the Stock-Bond Return Relation," Journal of Financial and Quantitative Analysis 40, 161-194.Connolly, R., C. Stivers and L. Sun (2005), "Stock Market Uncertainty and the Stock-bond Return Relation," Journal of Financial and ...