Interest rate changes and the cross-section of global equity returns

DOI10.1016/J.JEDC.2023.104596zbMath1518.91295OpenAlexW4313655770MaRDI QIDQ6164824

Adam Zaremba, Robert J. Bianchi, Nusret Cakici, Huaigang Long

Publication date: 4 July 2023

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104596

zbMATH Keywords

asset pricinginterest ratesyield curvereturn predictabilitygovernment bondsinternational stock marketscross-section of stock returnscountry equity indexes

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds
• Robust Inference With Multiway Clustering
• Common risk factors in the returns on stocks and bonds
• The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations

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