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

摘要：

If asset returns have systematic conditional skewness, expected returns should include rewards for taking such risk. With monthly stock and bond return data from the past 150 years for both the U.S. and the U.K., 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 coskewness (the relation between stock return and bond volatility) and bond co-skewness (the relation between bond return and stock volatility) command negative ex ante risk premiums. If these measures increase by one standard deviation, the expected stock and bond excess returns will decrease by 4.5 percent and 0.6 percent per year respectively. Similar cross-market conditional co-skewness effects are also reported for the U.K.

关键词： regime switching conditional co-skewness stock and bond return comovements

作者: Jian Yang Yinggang Zhou

作者单位: The Business School PO Box 173364 University of Colorado Denver Denver,CO 80217-3364 Black Creek Global Advisors 518 17th Street,17th Floor Denver,CO 80202

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-40

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）