Corporate Security Issues and Asset Returns

36 Pages Posted: 1 Oct 2001

Date Written: September 23, 2001


Aggregate public corporate security issues forecast excess returns on stocks, government bonds and corporate bonds. A high ratio of aggregate short term to aggregate long term debt issues and a low ratio of aggregate equity to aggregate debt issues forecasts high excess returns at frequencies ranging from one month to six months. These variables have predictive power above and beyond variables previously used to predict asset returns. Our results are consistent with several (rational) equilibrium models that relate security issue choice with macroeconomic conditions.

Keywords: Asset returns, Security issues, Business Cycles

JEL Classification: G1, G12, G32

Suggested Citation

Levy, Amnon and Kaplin, Andrew Serge, Corporate Security Issues and Asset Returns (September 23, 2001). Available at SSRN: or

Amnon Levy (Contact Author)

Moody's KMV ( email )

405 Howard Street
Suite 140
San Francisco, CA 94105
United States

Andrew Serge Kaplin

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States
847-491-3838 (Phone)
847-491-5719 (Fax)

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