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Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence

Kasarinlan: Philippine Journal of Third World Studies

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Field Value
 
Title Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence
 
Creator Tyagi, Somya
Siddiqui, Sikandar
 
Subject —
Stock market, Yield curve effect, Momentum, Nonparametric regression.
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Description In this paper, two largely familiar stock market anomalies – the yield curve and the momentum effects - are re-examined for the S&P 500 index by using nonparametric regression. The results essentially confirm the existence of both of these phenomena, but also indicate that the stochastic linkages between the explanatory variables and future index returns are nonlinear and mutually dependent. It hence turns out that the greater flexibility offered by nonparametric regression enables the detection and characterisation of some features of the underlying relationship that would have been gone unnoticed under the  linearity and additivity assumptions underlying simpler regression approaches.
 
Publisher Asian Online Journal Publishing Group
 
Contributor —
 
Date 2017-10-18
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://www.asianonlinejournals.com/index.php/AJEER/article/view/1122
10.20448/journal.501.2017.42.61.67
 
Source Asian Journal of Economics and Empirical Research; Vol 4, No 2 (2017); 61-67
2409-2622
2518-010X
 
Language eng
 
Relation http://www.asianonlinejournals.com/index.php/AJEER/article/view/1122/pdf
http://www.asianonlinejournals.com/index.php/AJEER/article/view/1122/remote
 
Coverage 0
https://scholar.google.com/citations?view_op=view_citation&hl=en&imq=&citation_for_view=3v-9kFIAAAAJ:CdxZDUztZiMC
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Rights Copyright (c) 2017 Asian Journal of Economics and Empirical Research