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Stock prices and bond yields : Can their comovements be explained in terms of present value models?

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Author Info
Shiller, Robert J.
Beltratti, Andrea E.

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File URL: http://www.sciencedirect.com/science/article/B6VBW-45JK64Y-4/2/28f8d9f73883cadbce402441fad42913
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 30 (1992)
Issue (Month): 1 (October)
Pages: 25-46
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Handle: RePEc:eee:moneco:v:30:y:1992:i:1:p:25-46

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Web page: http://www.elsevier.com/locate/inca/505566

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June. [Downloadable!] (restricted)
    Other versions:
  2. Barsky, Robert B, 1989. "Why Don't the Prices of Stocks and Bonds Move Together?," American Economic Review, American Economic Association, vol. 79(5), pages 1132-45, December. [Downloadable!] (restricted)
    Other versions:
  3. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-76, July. [Downloadable!] (restricted)
    Other versions:
  4. Bulkley, George & Tonks, Ian, 1989. "Are U.K. Stock Prices Excessively Volatile? Trading Rules and Variance Bounds Tests," Economic Journal, Royal Economic Society, vol. 99(398), pages 1083-98, December. [Downloadable!] (restricted)
  5. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April. [Downloadable!] (restricted)
  6. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October. [Downloadable!] (restricted)
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  7. Shiller, Robert J, 1988. "The Probability of Gross Violations of a Present Value Variance Inequality," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 1089-92, October. [Downloadable!] (restricted)
  8. Kleidon, Allan W, 1988. "The Probability of Gross Violations of a Present Value Variance Inequality: Reply," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 1093-96, October. [Downloadable!] (restricted)
  9. Andrea E. Beltratti & Robert J. Shiller, 1994. "Actual and Warranted Relations Between Asset Prices," NBER Working Papers 3640, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Campbell, John Y, 1990. "Measuring the Persistence of Expected Returns," American Economic Review, American Economic Association, vol. 80(2), pages 43-47, May. [Downloadable!] (restricted)
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  11. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," Working Paper 2002-3, Federal Reserve Bank of Atlanta. [Downloadable!]
  2. Francesco Menoncin & Paolo Panteghini, 2009. "Retrospective Capital Gains Taxation in the Real World," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  3. Andrew Clare & Ilias Lekkos, . "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England. [Downloadable!]
  4. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  6. Andrea E. Beltratti & Robert J. Shiller, 1994. "Actual and Warranted Relations Between Asset Prices," NBER Working Papers 3640, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series 96-3, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Research series 200711-27, National Bank of Belgium. [Downloadable!]
    Other versions:
  9. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group. [Downloadable!]
  11. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
  12. Sean D. Campbell & Morris A. Davis & Joshua Gallin & Robert F. Martin, 2006. "A trend and variance decomposition of the rent-price ratio in housing markets," Finance and Economics Discussion Series 2006-29, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  13. Christiansen, Charlotte & Ranaldo, Angelo, 2005. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers F-2005-05, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Other versions:
  14. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group. [Downloadable!]
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