Presenter(s)

    Fouad O. Saleh

    Comments

    Presentation: 9:00 a.m.-10:15 a.m., Kennedy Union Ballroom

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    Description

    In this study, using a two step regression model, I develop the functional relationship between (1) U.S. govt. debt and safe interest rates (T20 govt. bond) and safe interest rates and 6 sector etf' price indexes. The regression models are run over the period 2009-2019 with quarterly data. I test two key hypotheses: (1) U.S. government debt growth is inversely related to safe interest rates and (2) safe interest rates are inversely related to sector returns.Using the slope coefficients from the safe rate regressions on S&P 500 sector price indexes, I also develop a 6 sector portfolio weighting model and test the hypothesis that safe rates are a priced in risk factor in the equity market i.e., the 6 sector portfolio weighting model outperforms the broad equity market over the long term period,2009-2019.

    Publication Date

    4-20-2022

    Project Designation

    Independent Research

    Primary Advisor

    Tony S. Caporale, Robert D. Dean

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium project, School of Business Administration

    United Nations Sustainable Development Goals

    Quality Education

    U.S. Government Debt, Safe Rates and Stock Returns: An Empirical Analysis, 2009-2019 Abstract

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