Conditional coskewness in stock and bond markets: Time-series evidence
Publication in refereed journal


香港中文大学研究人员 ( 现职)

周颖刚教授 (酒店及旅游管理学院)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1287/mnsc.1100.1237

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/11WOS source URL
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/14Scopus source URL

其它资讯

摘要In the context of a three-moment intertemporal capital asset pricing model specification, we characterize conditional coskewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional U.S. stock coskewness (the relation between stock return and bond volatility) and bond coskewness (the relation between bond return and stock volatility) command statistically and economically significant negative ex ante risk premiums. The impacts of stock and bond coskewness on the conditional stock and bond premiums are quite robust to various model specifications and various sample periods, and also hold in another major developed country (the United Kingdom). The findings also carry important implications for portfolio management. ? 2010 INFORMS.

着者Yang J., Zhou Y., Wang Z.
期刊名称Management Science
详细描述Vol. 56 , No.http://aims.cuhk.edu.hk/converis/portal/Publication/11
出版年份2010
月份http://aims.cuhk.edu.hk/converis/portal/Publication/11
日期1
卷号56
期次http://aims.cuhk.edu.hk/converis/portal/Publication/11
出版社Institute for Operations Research and the Management Sciences
出版地United States
页次2031 - 2049
国际标準期刊号0025-1909
电子国际标準期刊号1526-5501
语言英式英语

关键词Conditional coskewness, Intertemporal asset pricing, Regime switching, Stock and bond comovements