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| Author: | Scruggs, J.T. Glabadanidis, P. |
| Title: | Risk premia and the dynamic covariance between stock and bond returns |
| Journal: | Journal of Financial and Quantitative Analysis
2003 : JUN, VOL. 38:2, p. 295-316 |
| Index terms: | Risk premium Stock returns |
| Freeterms: | Co-variance |
| Language: | eng |
| Abstract: | It is investigated whether intertemporal variation in stock and bond risk premia can be explained by time-varying covariances with priced risk factors. A conditional two-factor variant of Merton's ICAPM in which returns on an equity index and long-term government bond portfolio proxy for risk factors is estimated and tested. Conditional second moments follow the asymmetric dynamic covariance (ADC) model of Kroner and Ng (1998). |
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