Risk Premia and the Dynamic Covariance between Stock and Bond Returns

By John T. Scruggs, Paskalis Glabadanidis. Journal of Financial and Quantitative Analysis, 2003

170 citations recorded by the source corpus.

Subfields: Finance

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The risk return tradeoff in the long run: 1836–2003 (2007, unknown): “In an earlier version of the paper, I also consider a multi-variate ICAPM formulation with bond market risks generating hedging demands similar to Scruggs and Glabadanidis (2003).”
Evolution of international stock and bond market integration: Influence of the European Monetary Union (2006, unknown): “Whilst stock and bond return co-movements have been assessed by Scruggs and Glabadanidis (2003) using US data; and regional and cross-country stock-bond return correlations have been analyzed by Cappiello et al. (2003) using the EMU, Australasia and the US, there has not been an extensive…”
Commonality in the time-variation of stock-stock and stock-bond return comovements (2007, background): “…2002; Kodres and Pritsker, 2002; Ang and Bekaert, 2002; Ang and Chen, 2002; Ribeiro and Veronesi, 2002; Corsetti et al., 2005) and stock–bond comovement (see, e.g., Fleming et al., 1998, 2001; Scruggs and Glabadanidis, 2003; Hartmann et al., 2004; Connolly et al., 2005; Gulko, 2002; Li, 2002).”