| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9024 |
| DP9024 The Cross-Section and Time-Series of Stock and Bond Returns | |
| Stijn Van Nieuwerburgh; Hanno Lustig; Ralph Koijen | |
| 发表日期 | 2012-07-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal bond risk premium measures cyclical variation in the market?s assessment of future output growth, this results in a value risk premium provided that good news about future output lowers the marginal utility of wealth today. In support of this mechanism, we provide new historical evidence that low return realizations on value minus growth, typically at the start of recessions when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus growth and with lower future output growth. Motivated by this connection between the time series of nominal bond returns and the cross-section of equity returns, we propose a parsimonious three-factor model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, and time series variation in expected bond returns. Finally, a structural dynamic asset pricing model with the business cycle as a central state variable is quantitatively consistent with the observed value, equity, and nominal bond risk premia. |
| 主题 | Financial Economics |
| 关键词 | Bond risk premium Cross-section of stock returns |
| URL | https://cepr.org/publications/dp9024 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537863 |
| 推荐引用方式 GB/T 7714 | Stijn Van Nieuwerburgh,Hanno Lustig,Ralph Koijen. DP9024 The Cross-Section and Time-Series of Stock and Bond Returns. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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