Skip navigation
Full metadata record
DC FieldValueLanguage
dc.contributor.authorWurgler, Jeffrey-
dc.contributor.authorBaker, Malcolm-
dc.description.abstractIn contrast to the well-known unstable relationship between the returns on government bonds and stock indices, we find that bonds are robustly related to the cross-section of stock returns in both comovement and predictability patterns. 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. Time-series variables already known to predict returns on bonds also predict returns on bond-like stocks, and vice-versa. These relationships remain in place even when bonds and stocks become “decoupled” at the index level. They are likely driven by a combination of effects including correlations between real cash flows on bonds and bond-like stocks, correlations between their risk-based return premia, and periodic flights to quality.en
dc.titleComovement and Predictability Relationships Between Bonds and the Cross-Section of Stocksen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

Files in This Item:
File Description SizeFormat 
bondsxs15.pdf469.08 kBAdobe PDFView/Open

Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.