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 high-dividend-paying firms that are neither high growth nor distressed. Variables that are already known to predict excess returns on bonds also predict returns on bond-like stocks. The comovement patterns are maintained both when bond and stock markets are "coupled" and "decoupled" at index level. These relationships are driven by a combination of factors, including correlations between real cash flows on bonds and bond-like stocks, correlations between their risk-based return, and investor sentiment, such as periodic flight-to-quality phenomenon. We document the difference between our results and the work of Baker and Wurgler, in the sense that large-cap stocks may be less stable than normally expected. This thesis also replicates the method on data of six countries other than the U.S.: China, India, U.K., Canada, France and Japan. We document the commons and differences between patterns in different countries and discuss possible impact of country specific macro-economic factors on the cross-sectional stock-bond correlation, including macro-control and adjustment of government, sovereign credit risk, economic growth, monetary policy, and in inflation.     «

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...     »