Common shocks in stocks and bonds
Publication
, Journal Article
Cieslak, A; Pang, H
Published in: Journal of Financial Economics
November 1, 2021
We propose an approach to identify economic shocks (monetary, growth, and risk premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors’ responses to news from the Fed and key macro announcements. We uncover two risk premium shocks—time-varying compensation for discount rate and cash flow news—which have distinct effects on stocks and bonds. Since the mid-1990s, the Fed-induced reductions in both risk premium sources have generated high average stock returns but an ambiguous response in bonds on FOMC days.
Duke Scholars
Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
November 1, 2021
Volume
142
Issue
2
Start / End Page
880 / 904
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Cieslak, A., & Pang, H. (2021). Common shocks in stocks and bonds. Journal of Financial Economics, 142(2), 880–904. https://doi.org/10.1016/j.jfineco.2021.06.008
Cieslak, A., and H. Pang. “Common shocks in stocks and bonds.” Journal of Financial Economics 142, no. 2 (November 1, 2021): 880–904. https://doi.org/10.1016/j.jfineco.2021.06.008.
Cieslak A, Pang H. Common shocks in stocks and bonds. Journal of Financial Economics. 2021 Nov 1;142(2):880–904.
Cieslak, A., and H. Pang. “Common shocks in stocks and bonds.” Journal of Financial Economics, vol. 142, no. 2, Nov. 2021, pp. 880–904. Scopus, doi:10.1016/j.jfineco.2021.06.008.
Cieslak A, Pang H. Common shocks in stocks and bonds. Journal of Financial Economics. 2021 Nov 1;142(2):880–904.
Published In
Journal of Financial Economics
DOI
ISSN
0304-405X
Publication Date
November 1, 2021
Volume
142
Issue
2
Start / End Page
880 / 904
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1606 Political Science
- 1502 Banking, Finance and Investment
- 1402 Applied Economics