Dynamics of Bond and Stock Returns
dc.contributor.author | Kozak, Serhiy | |
dc.date.accessioned | 2015-05-19T18:03:46Z | |
dc.date.available | 2015-05-19T18:03:46Z | |
dc.date.issued | 2015-04 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/111731 | |
dc.description.abstract | I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign. The real term premium is also time-varying and changes sign. To generate these results, the model incorporates time-varying risk aversion within Epstein-Zin preferences and two physical technologies with different exposure to cash-flow risk. Bonds hedge risk-aversion (discount-rate) shocks and command negative term premium through this channel. Capital (cash-flow) shocks produce comovement of bond and stock returns and positive term premium. The relative strength of these two mechanisms varies over time. | en_US |
dc.subject | bonds | en_US |
dc.subject | stocks | en_US |
dc.subject | risk premium | en_US |
dc.subject | general equilibrium | |
dc.subject.classification | Finance | en_US |
dc.title | Dynamics of Bond and Stock Returns | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Finance | en_US |
dc.subject.hlbtoplevel | Business | |
dc.contributor.affiliationum | Ross School of Business | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/111731/1/1277_Kozak.pdf | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/111731/4/1277_Kozak_May 2015.pdf | |
dc.description.filedescription | Description of 1277_Kozak_May 2015.pdf : May 2015 revision | |
dc.owningcollname | Business, Stephen M. Ross School of - Working Papers Series |
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