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


Somya Tyagi, Sikandar Siddiqui

Abstract


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.

Keywords


Stock market, Yield curve effect, Momentum, Nonparametric regression.

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About this article

Title

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

Keywords

Stock market, Yield curve effect, Momentum, Nonparametric regression.

DOI

10.20448/journal.501.2017.42.61.67

Date

2017-10-18

Additional Links

Manuscript Submission

Journal

Asian Journal of Economics and Empirical Research
Vol 4, No 2 (2017) Page: 61-67

Print ISSN

2518-010X

Online ISSN

2409-2622

Statistics

72 Views | 33 Downloads

Citations

0

Authors & Affiliations

Somya Tyagi
Frankfurt School Financial Services GmbH, Frankfurt
Germany

Sikandar Siddiqui
SCDM Germany GmbH, Frankfurt, Germany
Germany


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Asian Journal of Economics and Empirical Research Online ISSN: 2409-2622 | Print ISSN: 2518-010X

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