Predicting returns in the stock and bond markets |
| |
Affiliation: | University of Pennsylvania, Philadelphia, PA 19104, USA;University of Chicago, Chicago, IL 60637, USA |
| |
Abstract: | Several predetermined variables that reflect levels of bond and stock prices appear to predict returns on common stocks of firms of various sizes, long-term bonds of various default risks, and default-free bonds of various maturities. The returns on small-firm stocks and low-grade bonds are more highly correlated in January than in the rest of the year with previous levels of asset prices, especially prices of small-firm stocks. Seasonality is found in several conditional risk measures, but such seasonality is unlikely to explain, and in some cases is opposite to, the seasonal found in mean returns. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|