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The cross-section and time series of stock and bond returns · Study

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ArticleThe cross-section and time series of stock and bond returns

Ralph S. J. Koijen2017

Article2017

The cross-section and time series of stock and bond returns

Ralph S. J. Koijen · Hanno N. Lustig · Stijn Van Nieuwerburgh

171 citations·0/0 files stored·Journal of Monetary Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2014A five-factor asset pricing model 1985Does the Stock Market Overreact?1986Economic Forces and the Stock Market 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

Cited by

2019Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds 2018Anomalies and market (dis)integration 2018Government debt and the returns to innovation 2019Time-varying inflation risk and stock returns 2020The Macroeconomic Uncertainty Premium in the Corporate Bond Market 2021Common shocks in stocks and bonds 2020Financial Market Risk Perceptions and the Macroeconomy*

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Year2017

Typearticle

Published2017-05-22

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations171

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jmoneco.2017.05.006

openalex_workW3122913149

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2020Review Article: Perspectives on the Future of Asset Pricing