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Yield Curve and Stock Return
Midas Asset Management Joohyun Baek Elizabeth Park Takeshi Takebayashi Indae Yoon
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Agenda Objective Yield Curve Analysis Trading Strategy
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Objective Examine the interaction between yield curve and stock return
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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
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Yield Spread (10yr – 3mo) and Stock Return
Positive and Negative Slope Magnitude Level Slope Behavior Interest Rate Behavior
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Yield Curve + P/E Ratio and Stock Return
Average stock returns consistently highest in category MM.
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Yield Curve + P/E Ratio and Stock Return
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Logistic Regression
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Trading Strategy
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