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Regression-Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias - 2014
We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10013068063
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The Persistent Effects of a False News Shock
Carvalho, Carlos - 2011
In September 2008, a six-year-old article about the 2002 bankruptcy of United Airlines' parent company resurfaced on the Internet and was mistakenly believed to be reporting a new bankruptcy filing by the company. This episode caused the company's stock price to drop by as much as 76 percent in...
Persistent link: https://www.econbiz.de/10013134664
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Pricing TIPS and Treasuries with Linear Regressions
Abrahams, Michael - 2013
We present an affine term structure model for the joint pricing of TIPS and Treasury yield curves that adjusts for TIPS' relative illiquidity. Our estimation via linear regressions is computationally efficient and can accommodate a large number of pricing factors. The baseline specification with...
Persistent link: https://www.econbiz.de/10013090077
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Forecasting through the Rear-View Mirror : Data Revisions and Bond Return Predictability
Ghysels, Eric - 2014
using such data therefore potentially overstate the information set available to investors in real time. We document that … macroeconomic data. This is partly explained by the fact that information contained in revisions to prior months' releases is … incorporated into bond prices. Survey forecasts available in real time contain information about future revised data that is …
Persistent link: https://www.econbiz.de/10013065072
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Leverage Asset Pricing
Adrian, Tobias - 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10013076596
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Pricing the Term Structure with Linear Regressions
Adrian, Tobias - 2013
generates similar in-sample term premium dynamics. Our regression approach can also incorporate unspanned factors and allows …
Persistent link: https://www.econbiz.de/10012710719
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Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates
Cao, Shuo - 2020
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012828049
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The Term Structure of Expectations
Crump, Richard K.; Eusepi, Stefano; Moench, Emanuel; … - 2021
the joint dynamics of these three variables, particularly for nominal interest rates. Consistent with the data, the model …
Persistent link: https://www.econbiz.de/10013314680
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Financial Intermediation, Asset Prices and Macroeconomic Dynamics
Adrian, Tobias - 2010
. Our findings point to the importance of financing frictions in macroeconomic dynamics and provide quantitative guidance …
Persistent link: https://www.econbiz.de/10013149404