| Titre : | Conditional coskewness in stock and bond markets : Time-series evidence (2011) |
| Auteurs : | Jian Yang, Auteur ; Yinggang Zhou, Auteur ; Zijun Wang, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Management science (Vol. 56 N° 11, Novembre 2010) |
| Article en page(s) : | pp. 2031-2049 |
| Note générale : | Management |
| Langues : | Anglais |
| Index. décimale : | 658 (Organisation des entreprises. Techniques du commerce) |
| Tags : | Regime switching Conditional coskewness Intertemporal asset pricing Stock and bond comovements |
| Résumé : | In the context of a three-moment intertemporal capital asset pricing model specification, we characterize conditional coskewness 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 coskewness (the relation between bond return and stock volatility) command statistically and economically significant negative ex ante risk premiums. The impacts of stock and bond coskewness on the conditional stock and bond premiums are quite robust to various model specifications and various sample periods, and also hold in another major developed country (the United Kingdom). The findings also carry important implications for portfolio management. |
| DEWEY : | 658 |
| ISSN : | 0025-1909 |
| En ligne : | http://mansci.journal.informs.org/cgi/content/abstract/56/11/2031 |
