The effect of yield curve changes on equity market anomalies

  • Robbert Beilo Robbert Beilo

This paper examines the relationship between the size, value, momentum, and low volatility anomalies and changes in the yield curve for the U.S. stock market for the period from 1968 to 2014. Yield curve changes are approached by looking at government bond returns of various maturities. Using regression analysis, this study finds that large stocks, growth stocks, stocks of stable, mature firms, stocks with average return momentum, and low volatility stocks are relatively more exposed to yield curve changes. Exposure to yield curve changes only results in a premium in a CAPM framework when stocks are sorted on stock return momentum and when stocks are sorted on stock return volatility. Results are fairly robust to alternative factor definitions and robust to sample splits.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.


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