Adam Zaremba, Nusret Cakici, R. Bianchi, Huaigang Long
{"title":"收益率曲线平移与全球股票收益横截面","authors":"Adam Zaremba, Nusret Cakici, R. Bianchi, Huaigang Long","doi":"10.2139/ssrn.3756047","DOIUrl":null,"url":null,"abstract":"We document a new cross-sectional anomaly that links international government bond and equity markets. Using a unique long-run dataset of 61 countries for the years 1900–2019, we demonstrate that past bond yield changes predict future stock index returns in the cross-section. The quintile of countries with the largest decline (or smallest increase) in government bond yields outperforms the quintile of countries with the smallest decline (or largest increase) by 0.63% per month. Our findings support the behavioral roots of this effect, suggesting that investors underreact to yield changes, and slow-moving capital prevents arbitrageurs from eliminating the anomaly. Global investors can employ this bond yield change effect to enhance international asset allocation decisions.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Yield Curve Shifts and the Cross-Section of Global Equity Returns\",\"authors\":\"Adam Zaremba, Nusret Cakici, R. Bianchi, Huaigang Long\",\"doi\":\"10.2139/ssrn.3756047\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We document a new cross-sectional anomaly that links international government bond and equity markets. Using a unique long-run dataset of 61 countries for the years 1900–2019, we demonstrate that past bond yield changes predict future stock index returns in the cross-section. The quintile of countries with the largest decline (or smallest increase) in government bond yields outperforms the quintile of countries with the smallest decline (or largest increase) by 0.63% per month. Our findings support the behavioral roots of this effect, suggesting that investors underreact to yield changes, and slow-moving capital prevents arbitrageurs from eliminating the anomaly. Global investors can employ this bond yield change effect to enhance international asset allocation decisions.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-12-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3756047\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3756047","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Yield Curve Shifts and the Cross-Section of Global Equity Returns
We document a new cross-sectional anomaly that links international government bond and equity markets. Using a unique long-run dataset of 61 countries for the years 1900–2019, we demonstrate that past bond yield changes predict future stock index returns in the cross-section. The quintile of countries with the largest decline (or smallest increase) in government bond yields outperforms the quintile of countries with the smallest decline (or largest increase) by 0.63% per month. Our findings support the behavioral roots of this effect, suggesting that investors underreact to yield changes, and slow-moving capital prevents arbitrageurs from eliminating the anomaly. Global investors can employ this bond yield change effect to enhance international asset allocation decisions.