Stock and bond market interaction: Does momentum spill over?

By William R. Gebhardt, Soeren Hvidkjaer, Bhaskaran Swaminathan. 2005

211 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9e0ded0ed25c3e256c6f58c386e03ce91ea30b03

Citations in the corpus

• Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations (2009, unknown): “…market liquidity (Chordia et al., 2005), the link between corporate bonds and stocks (e.g. Baker and Wurgler, 2005), momentum spillover effects (Gebhardt et al., 2005), asymmetric dynamics of stock and bond correlations (Capiello et al., 2003) and the transmission of volatility between stock…”
• Currency Momentum Strategies (2012, unknown): “Regarding bond markets, momentum strategies do not work for investment-grade bonds (Gebhardt, Hvidkjaer, and Swaminathan, 2005) or bonds at the country level (Asness, Moskowitz, and Pedersen, 2009), but yield positive returns for noninvestment grade corporate bonds (Jostova, Nikolova, Philipov, and…”
• Liquidity risk and expected corporate bond returns (2011, unknown): “The literature has presented several stock market and term structure factors important for the cross section of asset returns (see, for example, Fama and French, 1992, 1993; Gebhardt, Hvidkjaer, and Swaminathan, 2005a).”
• Green Bonds, Corporate Performance, and Corporate Social Responsibility (2019, unknown): “Thus, a company’s performance on the bond market and the stock market is related [17].”