THE IMPACT OF YIELD SLOPE ON STOCK PERFORMANCE

This study investigated the linkage between the effects of yield slope and the performance of stocks for the period, 2006-2012. The paper found a significant link between the two variables. The sharp increase of yield slope positively affected stock market performance of small, mid and big cap stock...

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Bibliographic Details
Published in:Southwestern economic review 2013-01, Vol.40, p.1-10
Main Authors: Yu, Geungu, Fuller, Phillip, Didia, Dal
Format: Article
Language:English
Subjects:
Central banks
Due diligence
Economic conditions
Economic recovery
Economic theory
Efficient markets
Federal Reserve monetary policy
Interest rates
Labor market
Literature reviews
Mid cap investments
Recessions
Securities markets
Short term
Stock exchanges
Stock prices
Treasury bills
Yield
Yield curve
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Summary:This study investigated the linkage between the effects of yield slope and the performance of stocks for the period, 2006-2012. The paper found a significant link between the two variables. The sharp increase of yield slope positively affected stock market performance of small, mid and big cap stocks examined. When 12 month lagging effects were considered, the linkage was statistically significant at 2% level of 2-tailed test for all sample groups of stocks.
ISSN:1941-7683
1941-7691