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Stock and bond market interaction: Does momentum spill over? · Study

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ArticleStock and bond market interaction: Does momentum spill over?

William R. Gebhardt2004

OA

Articlegreen2004

Stock and bond market interaction: Does momentum spill over?

William R. Gebhardt · Soeren Hvidkjaer · Bhaskaran Swaminathan

240 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Corporate Finance and Governance Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1993Common risk factors in the returns on stocks and bonds 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions 1995The Limits of Arbitrage 1997A model of investor sentiment /

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2003The illusory nature of momentum profits 2011Currency Momentum Strategies 2010Liquidity Risk and Expected Corporate Bond Returns 2008Flights and contagion—An empirical analysis of stock–bond correlations 2013Momentum in Corporate Bond Returns 2019Green Bonds, Corporate Performance, and Corporate Social Responsibility 2020

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Year2004

Typearticle

Published2004-10-21

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations240

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2004.03.005

openalex_workW3122053572

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