The determinants of stock–bond return correlations
نویسندگان
چکیده
I study the options-implied market risks that affect US stock–bond correlations from 2007 to 2021. discover stock and bond uncertainty, tail risk, global credit-default risk are dominant contributors changing during financial crisis (GFC) period. However, these collectively contribute much less time-varying in post-GFC Furthermore, rise times of rising risks. Rising uncertainty raises GFC period but lowers them My results disentangle markets show equity factors diversification benefits periods turmoil.This article is protected by copyright. All rights reserved.
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ژورنال
عنوان ژورنال: Journal of Financial Research
سال: 2023
ISSN: ['1475-6803', '0270-2592']
DOI: https://doi.org/10.1111/jfir.12329