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Conditional coskewness in stock and bond markets / Jian Yang in Management science, Vol. 56 N° 11 (Novembre 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 11 (Novembre 2010) . - pp. 2031-2049 Titre : Conditional coskewness in stock and bond markets : Time-series evidence Type de document : texte imprimé Auteurs : Jian Yang, Auteur ; Yinggang Zhou, Auteur ; Zijun Wang, Auteur Année de publication : 2011 Article en page(s) : pp. 2031-2049 Note générale : Management Langues : Anglais (eng) Mots-clés : Regime  switching  Conditional  coskewness  Intertemporal  asset  pricing  Stock  and  bond  comovements Index. décimale : 658 Organisation des entreprises. Techniques du commerce 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 [article] Conditional coskewness in stock and bond markets : Time-series evidence [texte imprimé] / Jian Yang, Auteur ; Yinggang Zhou, Auteur ; Zijun Wang, Auteur . - 2011 . - pp. 2031-2049. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 11 (Novembre 2010) . - pp. 2031-2049 Mots-clés : Regime  switching  Conditional  coskewness  Intertemporal  asset  pricing  Stock  and  bond  comovements Index. décimale : 658 Organisation des entreprises. Techniques du commerce 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