The information content of the stock and bond return correlation
We believe that the correlation between stock and bond returns carries information for the future values of these return series and economic conditions more widely. The correlation reflects investor perceptions regarding future economic performance, with a declining and negative correlation indicati...
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| Format: | Article |
| Language: | English |
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AIMS Press
2018-09-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | http://www.aimspress.com/article/10.3934/QFE.2018.3.757/fulltext.html |