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Yield Curve and Stock Return

Yield Curve and Stock Return. Midas Asset Management Joohyun Baek Elizabeth Park Takeshi Takebayashi Indae Yoon 2002.2.27. Agenda. Objective Yield Curve Analysis Trading Strategy. Objective. Examine the interaction between yield curve and stock return. Yield Curve Analysis.

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Yield Curve and Stock Return

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  1. Yield Curve and Stock Return Midas Asset Management Joohyun Baek Elizabeth Park Takeshi Takebayashi Indae Yoon 2002.2.27

  2. Agenda • Objective • Yield Curve Analysis • Trading Strategy

  3. Objective • Examine the interaction between yield curve and stock return

  4. Yield Curve Analysis • Yield Spread and Stock Return • 10 year T-note – 3 month T-bill • 5 year T note – 3 month T bill • 5 year T note – 2 year T note • 2 year T note – 3 month T bill • 1 year T note – 3 month T bill • Yield Spread + P/E Ratio and Stock Return • Logistic Regression

  5. Yield Spread (10yr – 3mo)and Stock Return • Positive and Negative • Slope Magnitude • Level • Slope Behavior • Interest Rate Behavior

  6. Yield Curve + P/E Ratioand Stock Return • Average stock returns consistently highest in category MM.

  7. Yield Curve + P/E Ratioand Stock Return

  8. Logistic Regression

  9. Trading Strategy

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