全球智库信息集成服务系统(G2TT): DP11401 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP11401
	DP11401 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
	Tobias Adrian; Richard K. Crump; Erik Vogt
发表日期	2016-07-21
出版年	2016
语种	英语
摘要	We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross-section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight-to-safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasuries. These findings provide support for dynamic asset pricing theories where the price of risk is a nonlinear function of market volatility.
主题	Financial Economics
关键词	Flight-to-safety Risk-return tradeoff Dynamic asset pricing Volatility Nonparametric estimation and inference Intermediary asset pricing Asset management
URL	https://cepr.org/publications/dp11401
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/540215
推荐引用方式 GB/T 7714	Tobias Adrian,Richard K. Crump,Erik Vogt. DP11401 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. 2016.