全球智库信息集成服务系统(G2TT): On the Fundamental Relation Between Equity Returns and Interest Rates

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w20187
来源ID	Working Paper 20187
	On the Fundamental Relation Between Equity Returns and Interest Rates
	Jaewon Choi; Matthew P. Richardson; Robert F. Whitelaw
发表日期	2014-06-05
出版年	2014
语种	英语
摘要	This paper uses contingent claim asset pricing and exploits capital structure priority to better understand the relation between corporate security returns and interest rate changes (i.e., duration). We show theoretically and, using a novel dataset, confirm empirically that lower priority securities in the capital structure, such as subordinated or distressed debt and equity, have low or even negative durations because these securities are effectively short higher priority, high duration fixed rate debt. This finding has important implications for interpreting existing results on (i) the time-varying correlation between the aggregate stock market and government bonds, (ii) the use of bond factors for multifactor asset pricing models and forecasting bond and stock returns, (iii) the Fisher effect and inflation, and (iv) the betas of corporate bonds.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance
URL	https://www.nber.org/papers/w20187
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/577861
推荐引用方式 GB/T 7714	Jaewon Choi,Matthew P. Richardson,Robert F. Whitelaw. On the Fundamental Relation Between Equity Returns and Interest Rates. 2014.