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- W4229012981 abstract "Abstract We link equity and treasury bond markets via an informational channel. When macroeconomic state shifts are more probable, informed traders are more likely to have valid signals about fundamentals, so that uninformed traders are less willing to trade against informed ones. This implies low volume and high volatility, that is, a high volatility–volume ratio (VVR). Central banks react to state shifts, but their actions are uncertain. Therefore, a higher state shift likelihood implies larger bond risk premia. These arguments together imply that VVR should positively predict bond excess returns. We empirically test and confirm this prediction, both in- and out-of-sample." @default.
- W4229012981 created "2022-05-08" @default.
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- W4229012981 date "2022-05-04" @default.
- W4229012981 modified "2023-09-26" @default.
- W4229012981 title "Equity Trading Activity and Treasury Bond Risk Premia" @default.
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- W4229012981 doi "https://doi.org/10.1017/s0022109022000497" @default.
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