{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,5]],"date-time":"2025-12-05T09:47:45Z","timestamp":1764928065539,"version":"3.46.0"},"reference-count":35,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Management Science"],"published-print":{"date-parts":[[2025,12]]},"abstract":"<jats:p>Stock and bond prices of a country move together with increasing country-specific risk. Bonds effectively hedge growth expectation risk when country-specific risk is low, resulting in a negative stock-bond correlation. However, as country-specific risk increases, hedging is less effective because (1) rising domestic prices tend to reduce a country\u2019s growth potential and (2) global growth expectation shocks are more persistent than country-specific ones. Consequently, countries with greater country-specific risk exhibit a relatively positive stock-bond correlation. Equity investments in these countries outperform those with negative relationships by 7%\u201311% annually. The superior performance is not driven by investing in a fixed set of countries.<\/jats:p>\n                  <jats:p>This paper was accepted by Lukas Schmidt, finance.<\/jats:p>\n                  <jats:p>Funding: This work was supported by Yonsei University [Grant 2024-22-0467].<\/jats:p>\n                  <jats:p>Supplemental Material: The online appendix and data files are available at https:\/\/doi.org\/10.1287\/mnsc.2024.07047 .<\/jats:p>","DOI":"10.1287\/mnsc.2024.07047","type":"journal-article","created":{"date-parts":[[2025,5,12]],"date-time":"2025-05-12T12:33:59Z","timestamp":1747053239000},"page":"10603-10623","source":"Crossref","is-referenced-by-count":0,"title":["Stock-Bond Return Dynamics and the Expected Country Stock Returns"],"prefix":"10.1287","volume":"71","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8051-8293","authenticated-orcid":false,"given":"Sungjune","family":"Pyun","sequence":"first","affiliation":[{"name":"Yonsei University School of Business, Seoul 03722, Republic of Korea"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1983.tb02511.x"},{"key":"B2","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2018.1564318"},{"key":"B3","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2024.103874"},{"key":"B4","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhz055"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.12.001"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2009.11.012"},{"key":"B7","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2004.00670.x"},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.01.005"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm030"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109014000453"},{"key":"B11","doi-asserted-by":"publisher","DOI":"10.1086\/707766"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfv032"},{"key":"B13","doi-asserted-by":"crossref","unstructured":"Chernov M, Lochstoer LA, Song D (2021) The real explanation of nominal bond-stock puzzle. 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