Title

Predicting stock‐bond correlations

Document Type

Journal article

Source Publication

Managerial Finance

Publication Date

4-2002

Volume

28

Issue

4

First Page

12

Last Page

18

Publisher

Emerald Group Publishing Limited

Keywords

Accounting research, Portfolio investment, Shares, Bonds, Modelling, Predictive validity, USA

Abstract

Few studies have been conducted to explain the variation in stock-bond correlations. However, to construct efficient portfolios in a mean-variance framework, investors must make accurate projections of future correlations. The past variability in stock-bond correlations notwithstanding, practitioners usually project future correlations by extrapolating past data. The purpose of this paper is to develop a regression model that will generate projections of future correlations that are more accurate than what would be determined from naively extrapolating the co-deviations of the past.

DOI

10.1108/03074350210767799

Print ISSN

03074358

E-ISSN

17587743

Publisher Statement

Copyright © Emerald Group Publishing Limited. Access to external full text or publisher's version may require subscription.

Full-text Version

Publisher’s Version

Recommended Citation

Cheng, J. & Ryan, R. (2002) Predicting stock‐bond correlations. Managerial Finance, 28(4), 12–18. doi: 10.1108/03074350210767799