Stock market uncertainty and the relation between stock and bond returns. Working paper, Federal Reserve Bank of Atlanta.Stivers Chris, and Sun Licheng, (2002), Stock Market Uncertainty and the Relation between Stock and Bond Returns, Working Paper, .ederal Reserve Bank of Atlanta, http...
Flights and CAViaR - Financial market stability and the stock-bond return relation (2005). Stock market uncertainty and the stock-bond return relation. Journal of Financial and Quantitative Analysis, 40(1): 161-194.Viitanen, T. (2011). Flights and CAViar - Financial Market Stability and the ...
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...
System.StockMarketUncertaintyStock-BondReturnRelationAbstractWeexaminewhethertime-variationdailystockTreasurybondreturnscanstockmarketuncertainty,specificallyimpliedvolatilityfromequityindexoptionsdetrendedstockturnover.Fromforward-lookingperspective,wefindnegativerelationbetweenuncertaintymeasuresfuturecorrelationbondreturns....
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...
• 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...
A.The call price acts as a floor on the value of a callable bond. B.The value of a callable bond is equal to the value of the straight bond component plus the value of the embedded call option. C.When yields rise, the value of a callable bond may not fall as much as a similar...
bond market from 2008 to 2013 as the study sample, this paper investigates the relationship between different types of guarantee and external auditing. The empirical result indicates that: a related-party guarantee is significantly positively correlated with high-quality external auditing, while a local...
The signal for slow (with rotational correlation time τc > 0.1 ms) and/or anisotropic segments is selectively enhanced in CP spectrum, while the INEPT technique only boosts the signal of mobile segments and yields no signal for rigid segments. The dependence of CP and INEPT intensities on ...
Connolly, Robert, Chris Stivers and Licheng Sun, Stock market uncertainty and the stock -bond return relation [J], Journal of Financial and Quantitative Analysis, 2005, 40, 161-194.Connolly;R;Stivers;C;Sun;L.Stock Market Uncertainty and the Stock-Bond Return Relation.0.161-194...