The cross-section and time series of stock and bond returns

• 成果类型: Article
• 署名作者: Koijen, Ralph S. J.; Lustig, Hanno; Van Nieuwerburgh, Stijn
• 署名单位: National Bureau of Economic Research; New York University; New York University; Center for Economic & Policy Research (CEPR); Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.05.006
• 发表日期: 2017
• 页码: 50-69
• 关键词: Value premium; Bond risk premium; Business cycles and asset pricing

摘要

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. (C) 2017 Elsevier B.V. All rights reserved.