Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
在三矩跨期资本资产定价模型下，用双变量区制转换模型刻画股票与债券超额收益的条件协偏度，发现两者均存在显著负向事前风险溢价，且结果稳健。
In the context of a three-moment intertemporal capital asset pricing model specification, we characterize conditional coskewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional U.S. stock coskewness (the relation between stock return and bond volatility) and bond coskewness (the relation between bond return and stock volatility) command statistically and economically significant negative ex ante risk premiums. The impacts of stock and bond coskewness on the conditional stock and bond premiums are quite robust to various model specifications and various sample periods, and also hold in another major developed country (the United Kingdom). The findings also carry important implications for portfolio management.