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Discussion of "The Cross Section and Time Series of Stock and Bond Returns" by Koijen, Lustig & Van Nieuwerburgh
Cross Section Stock and Bond Returns
2015/7/23
A￠ ne model in which:
ñ 3 priced factors explain the cross section of bond and stock returns:
level, CP, DP
ñ 2 factors explain the time variation in bond and stock returns:
CP, DP
The article focuses on the condition of initial public offerings (IPO) of stocks in Fairfield County, Connecticut. The Fairfield County Business Journal reports that about 60 percent of nearly 60 loca...
International Stock Returns and Market Integration: A Regional Perspective
global stock market market integration international variation capital markets
2011/9/12
Studies the evolution of country and industry effects at the level of the global stock market in terms of market integration from a regional perspective. Importance of the country effects in explainin...