Common risk factors in the returns on stocks and bonds
Abstract
This paper identities five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors. related to maturity and default risks. Stock returns have shared variation due to the stock-market factors, and they are linked to bond returns through shared variation in the bond-market factors. Except for...
Paper Details
Title
Common risk factors in the returns on stocks and bonds
Published Date
Feb 1, 1993
Volume
33
Issue
1
Pages
3 - 56
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