Conditional Co-skewness in Stock and Bond Markets:Time Series Evidence

摘要：

　　In the context of a three-moment Intertemporal Capital Asset Pricing Model specification,we characterize conditional co-skewness between stock and bond excess returns using a bivariate regime-switching model.We find that both conditional U.S.stock co-skewness (the relation between stock return and bond volatility) and bond co-skewness (the relation between bond return and stock volatility) command statistically and economically significant negative ex ante risk premiums.The impacts of stock and bond co-skewness on the conditional stock and bond premium are quite robust to various model specifications and various sample periods.They also hold in another country (U.K.).Portfolio implications of these findings are discussed.

关键词： regime-switching conditional co-skewness intertemporal asset pricing stock and bond co movements

作者: Jian Yang Yinggang Zhou Zijun Wang

作者单位: University of Colorado Denver Chinese University of Hong Kong Texas A&M University

会议类型: 国内会议

会议名称: 第六届中国金融学年会

会议地点: 成都

会议语种:英文

页码: 1-42

在线出版日期: 2009-10-31（万方平台首次上网日期，不代表论文的发表时间）