Artikel
What News Drive Variation in Swiss and US Bond and Stock Excess Returns?
Based on a vector autoregressive model (VAR), this paper shows that time variation in monthly excess returns on Swiss government bonds and stocks is predominantly driven by news of inflation and dividends, respectively. This finding is in marked contrast to US evidence which points to a more prominent role of excess return news. Variance decompositions based on estimates from threshold VARs show that US stock market evidence is consistent with the view that market participants put more weight on news of macroeconomic, i.e. cash-flow, risks in periods of exceptionally low real interest rates than in normal times.
- Sprache
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Englisch
- Erschienen in
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Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 150 ; Year: 2014 ; Issue: 2 ; Pages: 89-118 ; Heidelberg: Springer
- Klassifikation
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Wirtschaft
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
bond return
news components
stock return
variance decomposition
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nitschka, Thomas
- Ereignis
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Veröffentlichung
- (wer)
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Springer
- (wo)
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Heidelberg
- (wann)
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2014
- DOI
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doi:10.1007/BF03399403
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Nitschka, Thomas
- Springer
Entstanden
- 2014
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