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The cross-section and time series of stock and bond returns
Institution:1. NYU, NBER, and CEPR, Department of Finance, Stern School of Business, New York University, 44 W. 4th Street, New York, NY 10012, USA;2. Stanford and NBER, Department of Finance, Stanford GSB, 655 Knight Way, Stanford CA 94305, USA;1. Departamento de Análisis Económico, University of Valencia, Avda. dels Tarongers s/n, 46022 Valencia, Spain;2. Banco de España, Associate Directorate General Economics and Research, Calle Alcalá 48, 28014 Madrid, Spain;1. Department of Psychology, University of Essex, Essex, CO4 3SQ, UK;2. School of Psychology, University of Plymouth, Plymouth, PL4 8AA, UK;3. School of Psychology, Scripps College, CA 91711, USA;1. Finance Group, Warwick Business School, University of Warwick, United Kingdom;2. Cheung Kong Graduate School of Business, Beijing 100738, China;3. Department of Finance, NUS Business School, National University of Singapore, Singapore
Abstract:Bond factors which predict future U.S. economic activity at business cycle horizons are priced in the cross-section of U.S. stock returns. High book-to-market stocks have larger exposures to these bond factors than low book-to-market stocks, because their cash flows are more sensitive to the business cycle. Because of this new nexus between stock and bond markets, a parsimonious three-factor dynamic no-arbitrage model can be used to jointly price book-to-market-sorted portfolios of stocks and maturity-sorted bond portfolios, while reproducing the time-series variation in expected bond returns. The business cycle itself is a priced state variable in stock and bond markets.
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