Journal of Financial Economics Vol. 33 No. 1 1993
Common risk factors in the returns on stocks and bonds
Abstract
This paper identifies five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors, related to maturity and default risks. Stock returns have shared variation due to the stock-market factors, and they are linked to bond returns through shared variation in the bond-market factors. Except for low-grade corporates, the bond-market factors capture the common variation in bond returns. Most important, the five factors seem to explain average returns on stocks and bonds.
- DOI
- 10.1016/0304-405x(93)90023-5
- Volume
- 33
- Issue
- 1
- Pages
- 3-56
- Language
- en
- Sources
- crossref bibtex:phds-export.bib openalex