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Explaining risk premia on bonds and equities

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  • Mike Kennedy
  • Torsten Sløk

Abstract

Between 2002 and early 2005 risk premia for a number of asset classes across broad geographical areas not only fell substantially but also tended to move more closely together than they had done historically. This raises the question to what extent this apparent reduced investor discrimination across asset classes went beyond what can be accounted for by market-specific developments. In particular, the reduced discrimination among asset classes could suggest that factors other than market- or country-specific events have played a role in narrowing risk premia.

Suggested Citation

  • Mike Kennedy & Torsten Sløk, 2006. "Explaining risk premia on bonds and equities," OECD Economic Studies, OECD Publishing, vol. 2005(1), pages 111-125.
    • Handle: RePEc:oec:ecokaa:5l9vc3q2bt30
    DOI: 10.1787/eco_studies-v2005-art5-en
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    Cited by:

    1. Kennedy, Mike & Palerm, Angel, 2014. "Emerging market bond spreads: The role of global and domestic factors from 2002 to 2011," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 70-87.
    2. Christophe André, 2010. "A Bird's Eye View of OECD Housing Markets," OECD Economics Department Working Papers 746, OECD Publishing.

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