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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26447
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| Title: | Government bonds and the cross-section of stock returns∗ |
| Authors: | Baker, Malcolm
Wurgler, Jeffery |
| Issue Date: | 5-Jan-2006 |
| Series/Report no.: | FIN-05-040 |
| Abstract: | We document that U.S. government bonds comove more strongly with
“bond-like stocks”— stocks of large, mature,
low-volatility, profitable, dividend-paying firms that are neither high
growth nor distressed. This pattern may be caused by common shocks to
real cash flows, rationally required returns, or flights to quality in
which drops in investor sentiment increase the demand for both
government bonds and bond-like stocks. Consistent with both the required
returns and sentiment channels, we find a common predictable component
in bonds and bondlike stocks. Consistent with the sentiment channel, we
find that bonds and bond-like stocks comove with inflows into government
bond and conservative stock mutual funds. |
| URI: | http://hdl.handle.net/2451/26447 |
| Appears in Collections: | Finance Working Papers
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