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SKEWNESS AND COSKEWNESS IN BOND RETURNS.
- Source :
- Journal of Financial Research; Summer2016, Vol. 39 Issue 2, p145-178, 34p
- Publication Year :
- 2016
-
Abstract
- Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross-sectional variation driven by maturity and credit rating. Other things being equal, longer maturity bonds have lower skewness, and lower coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by market default spread. They are significantly different from, and often are closer to zero than, two-moment alphas (which ignore coskewness effects). [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02702592
- Volume :
- 39
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Financial Research
- Publication Type :
- Academic Journal
- Accession number :
- 115897950
- Full Text :
- https://doi.org/10.1111/jfir.12093