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Author(s):
Chen, Miaomiao
Title:
Bonds and the Cross-section of Stocks: International Evidence
Abstract:
This thesis mainly follows the approach proposed by Baker and Wurgler in their paper Comovement and predictability relationships between bonds and the cross-section of stocks (2012). The stock-bond correlation has shown substantial time variation. This thesis is focused on cross-sectional patterns in the comovement and predictability relationships between bonds and stocks. Government bonds show stronger comovements with bond-like stocks: stocks of mature, low-volatility, pro table, relatively...     »
Supervisor:
Prof. Dr. Christoph Kaserer & Prof. Dr. Rudi Zagst
Advisor:
Noorhan Elkhayat
Year:
2020
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Finanzmathematik
Commencing Date:
15.04.2020
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