IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v46y2014i9p913-923.html
   My bibliography  Save this article

The conditional influence of term spread and pattern changes on future equity returns

Author

Listed:
  • David A. Volkman
  • Olivier J. P. Maisondieu Laforge
  • Mark Wohar

Abstract

We extend previous research examining the relation between interest rates and equity returns using a multivariate analysis of covariance model with a dynamic yield curve and conditioned term spread. We find yield pattern changes predict economic equity returns; that the long end-of-yield curve is a strong determinant factor; and, in contrast to previous research, we find no relation between a decrease in the short rate and equity returns. However, the conditional term spread captures a significant positive return indicating that the degree of decline in the short rate relative to the long rate is of more importance than the term spread alone.

Suggested Citation

  • David A. Volkman & Olivier J. P. Maisondieu Laforge & Mark Wohar, 2014. "The conditional influence of term spread and pattern changes on future equity returns," Applied Economics, Taylor & Francis Journals, vol. 46(9), pages 913-923, March.
    • Handle: RePEc:taf:applec:v:46:y:2014:i:9:p:913-923
    DOI: 10.1080/00036846.2013.859377
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2013.859377
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2013.859377?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gupta, Rangan & Risse, Marian & Volkman, David A. & Wohar, Mark E., 2019. "The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 391-405.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:46:y:2014:i:9:p:913-923. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.