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A Global Stock and Bond Model

Author

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  • Lucie Chaumeton
  • Gregory Connor
  • Ross Curds

Abstract

Six fundamental risk factors (four for stocks and two for bonds) explain most of the common volatility of individual stocks and bonds worldwide. Some of the risk factors have a strong international component, and others are more purely national. The cross-national component of the risk factors tends to be stronger within the European Union than worldwide. The model proposed in this article can be used for integration of worldwide asset selection and asset allocation decisions.

Suggested Citation

  • Lucie Chaumeton & Gregory Connor & Ross Curds, 1996. "A Global Stock and Bond Model," Financial Analysts Journal, Taylor & Francis Journals, vol. 52(6), pages 65-74, November.
    • Handle: RePEc:taf:ufajxx:v:52:y:1996:i:6:p:65-74
    DOI: 10.2469/faj.v52.n6.2041
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    Cited by:

    1. Fleming, Michael & Nguyen, Giang & Rosenberg, Joshua, 2024. "How do Treasury dealers manage their positions?," Journal of Financial Economics, Elsevier, vol. 158(C).

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