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 een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2023-2027           •           Onderzoeksagenda

OVER NETSPAR

Onze partners

B20160708_university of groningen
B20160615_pggmgroengrijs_grijswaarden_small
B20211201_Cardano_Logo 2021_website
AFM logo 2023 zwart wit
Bekijk al onze partners