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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26644
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| Title: | GOVERNMENT BONDS AND THE CROSS-SECTION OF STOCK RETURNS |
| Authors: | Baker, Malcolm
Wurgler, Jeffrey |
| Issue Date: | 11-Jul-2005 |
| Series/Report no.: | SC-AM-05-04 |
| 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/2451/26644 |
| Appears in Collections: | Asset Management
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