The Impact of Yield Slope on Stock Performance
Yu, Geungu, Phillip Fuller and Dal Didia. “The Impact of Yield Slope on Stock Performance” Southwestern Economic Review (Spring 2013) 40 (1): 1-10.
10 Pages Posted: 1 Jun 2017
Date Written: May 29, 2017
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.
Keywords: yield curve, stock market
JEL Classification: E32, E43,G11, G12
Suggested Citation: Suggested Citation