Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence

• 成果类型: Article
• 署名作者: Yang, Jian; Zhou, Yinggang; Wang, Zijun
• 署名单位: University of Colorado System; University of Colorado Denver; Chinese University of Hong Kong; Texas A&M University System; Texas A&M University College Station
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1100.1237
• 发表日期: 2010
• 页码: 2031-2049
• 关键词: Regime switching; conditional coskewness; intertemporal asset pricing; stock and bond comovements

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.