The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics
研究了1997-2011年间资产类别风险动态能否解释股票-债券收益的负相关关系及期限结构斜率变动，发现控制风险后负相关基本消失，且股权风险与长期国债收益正相关。
Abstract We study whether asset-class risk dynamics can help explain the predominantly negative stock-bond return relation and movements in the term structure’s slope over 1997–2011. Using option-derived implied volatilities to measure risk, we find i) the negative stock-bond return relation largely disappears when controlling for risk movements, at both monthly and weekly horizons; ii) the partial relation between equity-risk changes and 10-year T-bond excess returns (term-slope movements) is reliably positive (negative); and iii) a stronger link between equity risk and stock returns implies a more negative stock-bond return correlation. Our results suggest a flight-to-quality influence between equity-risk dynamics and longer-term Treasury pricing.