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• W2103606967 abstract "The implicit assumption of linearity is an important element in empirical finance. This study presents a hypothesis testing approach which examines the linear behaviour of the conditional mean between stock and bond returns. Conventional tests detect spurious non-linearity in the conditional mean caused by heteroskedasticity and/or autocorrelation. This study re-states these tests in a heteroskedasticity and autocorrelation consistent (HAC) framework and we find that stock and bond returns are indeed linear-in-the-mean in both univariate and bivariate settings. This study contends that previous research has detected spurious non-linearity due to size distortions caused by heteroskedasticity and autocorrelation, rather than the presence of a genuine nonlinear relationship between stock and bond returns." @default.
• W2103606967 created "2016-06-24" @default.
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• W2103606967 date "2008-01-01" @default.
• W2103606967 modified "2023-09-27" @default.
• W2103606967 title "HACking at Non-linearity: Evidence from Stocks and Bonds" @default.
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