Correlation between Equity and Bond Returns
The relationship between equity and bond returns: An empirical investigation
... In other words, a small change in a large DD should have only a limited impact on the correlation between equity and bond returns, while the magnitude of impact should grow as DD falls. ...
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The equity-bond correlation. The most important number you rarely think about
... the correlation between equity and bond returns will be slightly negative over the next 10 ...and bond yields remain below 6%, both of which appear quite reasonable assumptions ...
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On the correlation between commodity and equity returns
... links between price returns for 25 commodities and stocks by paying particular attention to energy raw materials during the financial crisis of 2007- ...the correlation between equity ...
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Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns
... the correlation in real terms, i.e., the correlation between real currency returns and real relative equity returns, which is new in the ...negative correlation tends to ...
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Liquidity Risk and Time Varying Correlation Between Equity and Currency Returns
... the correlation in real terms, i.e., the correlation between real currency returns and real relative equity returns, which is new in the ...negative correlation tends to ...
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Why does the correlation between stock and bond returns vary over time?
... the correlation between stock and bond ...Since bond prices should be negatively related to inflation expectations, our findings suggest that high inflation expectations have a larger impact ...
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The Fed-model and the changing correlation of stock and bond returns: An equilibrium approach
... positive correlation of ...stock returns as the volatility of dividend growth increased sharply during that ...covariance between dividend growth and ...on equity returns in the ...
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Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors?
... excess returns across the anomalies, we conclude that the CAPM and the five-factor model do not explain the variation in average excess returns on these ...of equity market predictors for bond ...
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What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
... time-varying correlation as a function of capital flows and interest rate ...seek equity parity to minimize the foreign exchange risk in their ...and equity returns in both home and foreign ...
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Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market
... dynamics between the cryptocurrencies and equity market ...and correlation between the two has been undertaken by considering five Asian stock indices and four cryptocurrencies ranging from ...
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Descriptive analysis of Finnish equity, bond and money market returns
... These returns provide us with an approximation of realized returns in absence of a better ...of bond returns during the early periods that we ...our bond return series are calculated ...
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Bond Supply and Excess Bond Returns
... in bond and options ...negative correlation between credit spreads and the debt-to-gdp ratio, arguing that this reflects a downward-sloping demand for Treasury ...in bond excess ...
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Bond Supply and Excess Bond Returns
... the correlation between dollar-weighted average maturity and debt to GDP is 60% in the 1952-2007 ...positive correlation reflects the fact that as the US govern- ment increased the size of its debt, ...
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Bond supply and excess bond returns
... in bond and options ...negative correlation between credit spreads and the debt-to-gdp ratio, arguing that this reflects a downward-sloping demand for Treasury ...in bond excess ...
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Stock market uncertainty and the relation between stock and bond returns
... rebalancing between stocks and bonds for some investors. Second, concerning bond pricing, they note that uncertainty may induce agents to save, thereby depressing interest ...return correlation ...
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Correlation between Maltese and euro area sovereign bond yields
... sovereign bond yields may, for example, impinge on the profitability of capital investment ...as equity prices or houses. A change in the relationship between long-term bond yields in Malta ...
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Regime switching in volatilities and correlation between stock and bond markets
... the bond-stock correlation is needed while the two volatility processes could largely share a common state variable, especially for the 10-year bond paired with ...in correlation while the ...
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Four Essays on the Relation between Distress Risk and Equity Returns
... relation between characteristics and returns (Garlappi et ...in-sample correlation with returns gives rise to a data-snooping ...with returns yields portfolio returns with high ...
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Dynamics of Bond and Stock Returns
... and bond yields down ...however, bond and stock prices tended to co-move, making bonds risky and therefore term premia were likely ...that correlation of stock returns with real long- term ...
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The Abnormal Performance of Bond Returns
... futures returns is related to their ability to proxy for economic ...the equity market and with extant economic ...expected returns on these futures increase to reflect the riskiness of the business ...
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