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Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks

Citations

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Cited by:

  1. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2014. "The long of it: Odds that investor sentiment spuriously predicts anomaly returns," Journal of Financial Economics, Elsevier, vol. 114(3), pages 613-619.
  2. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018. "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers 24529, National Bureau of Economic Research, Inc.
  3. Mohammad Alomari & Abdel Razzaq Al rababa’a & Ghaith El-Nader & Ahmad Alkhataybeh, 2021. "Who’s behind the wheel? The role of social and media news in driving the stock–bond correlation," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 959-1007, October.
  4. Malcolm Baker & Terence C. Burnham & Ryan Taliaferro, 2016. "Public Goods with Punishment & Payment for Relative Rank," Working Papers 16-33, Chapman University, Economic Science Institute.
  5. Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
  6. Ham, Hyuna & Ryu, Doojin & Webb, Robert I., 2022. "The effects of overnight events on daytime trading sessions," International Review of Financial Analysis, Elsevier, vol. 83(C).
  7. Edmans, Alex & Fernandez-Perez, Adrian & Garel, Alexandre & Indriawan, Ivan, 2022. "Music sentiment and stock returns around the world," Journal of Financial Economics, Elsevier, vol. 145(2), pages 234-254.
  8. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
  9. Çepni, Oğguzhan & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2020. "Time-varying risk aversion and the predictability of bond premia," Finance Research Letters, Elsevier, vol. 34(C).
  10. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
  11. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
  12. Ashour, Samar & Hao, Grace Qing & Harper, Adam, 2023. "Investor sentiment, style investing, and momentum," Journal of Financial Markets, Elsevier, vol. 62(C).
  13. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
  14. Vijay Singal & Jitendra Tayal, 2020. "Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 479-500, March.
  15. Dunbar, Kwamie, 2021. "Pricing the hedging factor in the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  16. Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
  17. Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
  18. Li, Yulin, 2021. "Investor sentiment and sovereign bonds," Journal of International Money and Finance, Elsevier, vol. 115(C).
  19. Demir Bektić & Tobias Regele, 2018. "Exploiting uncertainty with market timing in corporate bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 79-92, March.
  20. John A. Doukas & Xiao Han, 2021. "Sentiment‐scaled CAPM and market mispricing," European Financial Management, European Financial Management Association, vol. 27(2), pages 208-243, March.
  21. Demirovic, Amer & Guermat, Cherif & Tucker, Jon, 2017. "The relationship between equity and bond returns: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 35(C), pages 47-64.
  22. Laborda, Ricardo & Muñoz, Fernando, 2016. "Optimal allocation of government bond funds through the business cycle. Is money smart?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 46-67.
  23. Carla Fernandes & Paulo M. Gama & Elisabete Vieira, 2016. "Does local and Euro area sentiment matter for sovereign debt markets? Evidence from a bailout country," Applied Economics, Taylor & Francis Journals, vol. 48(9), pages 816-834, February.
  24. Samuel M. Hartzmark & David H. Solomon, 2019. "The Dividend Disconnect," Journal of Finance, American Finance Association, vol. 74(5), pages 2153-2199, October.
  25. Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
  26. Kolluri, Bharat & Wahab, Susan & Wahab, Mahmoud, 2015. "An examination of co-movements of India's stock and government bond markets," Journal of Asian Economics, Elsevier, vol. 41(C), pages 39-56.
  27. Yang Zhao & Cheng Few Lee & Min-Teh Yu, 2024. "Does Equity Market Timing have a Persistent Impact on Capital Structure? Evidence from China," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 11, pages 363-397, World Scientific Publishing Co. Pte. Ltd..
  28. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2015. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.3], University of Cologne, Centre for Financial Research (CFR).
  29. Birru, Justin, 2018. "Day of the week and the cross-section of returns," Journal of Financial Economics, Elsevier, vol. 130(1), pages 182-214.
  30. Steven Lehrer & Tian Xie & Tao Zeng, 2021. "Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures? [Regression Models with Mixed Sampling Frequencies]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 910-933.
  31. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
  32. Nebojsa Dimic & Vitaly Orlov & Janne Äijö, 2019. "Bond–Equity Yield Ratio Market Timing in Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1), pages 52-79, April.
  33. Akkoyun, Cagri & Ersahin, Nuri & James, Christopher M., 2023. "Crowded out from the beginning: Impact of government debt on corporate financing," Journal of Financial Intermediation, Elsevier, vol. 56(C).
  34. Berger, David & Turtle, Harry J., 2015. "Sentiment bubbles," Journal of Financial Markets, Elsevier, vol. 23(C), pages 59-74.
  35. Demir Bektić, 2018. "The low beta anomaly: A corporate bond investor's perspective," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 300-306, October.
  36. Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
  37. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016. "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 347-370.
  38. Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017. "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 1-21.
  39. Chen, Zhenxi & Lien, Donald & Lin, Yaheng, 2021. "Sentiment: The bridge between financial markets and macroeconomy," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1177-1190.
  40. David Blitz & Matthias X. Hanauer & Pim Vliet, 2021. "The Volatility Effect in China," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 338-349, September.
  41. Boons, Martijn, 2016. "State variables, macroeconomic activity, and the cross section of individual stocks," Journal of Financial Economics, Elsevier, vol. 119(3), pages 489-511.
  42. Turkmen Muldur Gozde & Kandir Serkan Yılmaz & Onal Yıldırım Beyazıt, 2019. "Investor Sentiment and Speculative Bond Yield Spreads," Foundations of Management, Sciendo, vol. 11(1), pages 177-186, January.
  43. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.
  44. Mamaysky, Harry, 2018. "The time horizon of price responses to quantitative easing," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 32-49.
  45. Jiang, Hao & Sun, Zheng, 2020. "Reaching for dividends," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 321-338.
  46. Yu, Haiyang & Chen, Haisong, 2023. "Economic policy uncertainty and green innovation: Does corporate social responsibility matter?," Finance Research Letters, Elsevier, vol. 58(PC).
  47. Douglas de Medeiros Franco, 2022. "Expectations, Economic Uncertainty, and Sentiment," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(5), pages 210029-2100.
  48. Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
  49. Fabrizio Casalin & Enzo Dia, 2016. "The dynamic interrelation between external finance and bank credit," Applied Economics, Taylor & Francis Journals, vol. 48(3), pages 243-259, January.
  50. Shrestha, Keshab & Philip, Sheena Sara Suresh & Khaw, Karren Lee-Hwei, 2024. "Impact of geopolitical risk on target debt ratio," Finance Research Letters, Elsevier, vol. 60(C).
  51. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
  52. Islam, Mohd. Anisul, 2021. "Investor sentiment in the equity market and investments in corporate-bond funds," International Review of Financial Analysis, Elsevier, vol. 78(C).
  53. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
  54. Alomari, Mohammad & Al Rababa’a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Ur Rehman, Mobeen, 2021. "Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 280-297.
  55. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2023. "Industry regulation and the comovement of stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 206-219.
  56. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
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