Skip to main content
Article
Predicting stock‐bond correlations
Managerial Finance
  • Joseph CHENG, Ithaca College
  • Robert RYAN, Syracuse University
Document Type
Journal article
Publication Date
4-1-2002
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
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
Citation Information
Cheng, J. & Ryan, R. (2002) Predicting stock‐bond correlations. Managerial Finance, 28(4), 12–18. doi: 10.1108/03074350210767799