We re-examine the risk-return trade off in U.S. equity market by allowing for time variation in the tradeoff and estimating the conditional variance by the new mixed data sampling method. The main finding is that the risk-return tradeoff is strongly time-varying with the state of the market and...

This paper examines linkages among major Eurocurrency interest rates during 1994-2002. Eurocurrency interest rate causal linkages are found to be much stronger with additional allowance for contemporaneous causality test results than the inference based solely on Granger causality tests. The...

Recently, there has been a rapid rise of on-demand ride-hailing platforms, such as Uber and Didi, which allow passengers with smart phones to submit trip requests and match them to drivers based on their locations and drivers' availability. This increased demand has raised questions about how...

In the context of a three-moment Intertemporal Capital Asset Pricing Model specification, we characterize conditional co-skewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional U.S. stock co-skewness (the relation between stock...

Using monthly stock and bond return data in the past 150 years (1855-2001) for both the U.S. and the U.K., this study documents time-varying stock-bond correlation over macroeconomic conditions (the business cycle, the inflation environment and monetary policy stance). There are different...