Conditional coskewness in stock and bond markets: time-series evidence

Jian Yang, Yinggang Zhou, Zijun Wang
Management Science,Vol. 56, Issue 11, Pages: 2031-2049.

In the context of a three-moment intertemporal capital asset pricing model specification, we characterize conditional coskewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional US stock coskewness (the relation between stock return and bond volatility) and bond coskewness (the relation between bond return and stock volatility) command statistically and economically significant negative ex ante risk premiums. The impacts of stock and bond coskewness on the …
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