Showing 1 - 10 of 58,093
This paper conducts a comprehensive asset pricing study based on a unique dataset for theGerman stock market. For the period 1963 to 2006 we show that value characteristics andmomentum explain the cross-section of stock returns. Corresponding factor portfolios havesignificant premiums across...
Persistent link: https://www.econbiz.de/10009302649
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Ambiguity can help resolve...
Persistent link: https://www.econbiz.de/10011864574
This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a big dataset (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk...
Persistent link: https://www.econbiz.de/10013014181
This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large dataset that captures the nowadays data-rich environment (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment...
Persistent link: https://www.econbiz.de/10012984568
Some key features in the historical dynamics of U.S. Treasury bond yields-a trend in long-term yields, business cycle movements in short-term yields, and a level shift in yield spreads-pose serious challenges to existing equilibrium asset pricing models. This paper presents a new equilibrium...
Persistent link: https://www.econbiz.de/10012201422
We assess the impact of large-scale asset purchases, commonly known as quantitative easing (QE), conducted by Sveriges Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage-free dynamic term structure model of nominal and...
Persistent link: https://www.econbiz.de/10014517711
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...
Persistent link: https://www.econbiz.de/10013193433
This paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multiperiod CRRA individual who faces transaction costs and who has access to multiple risky assets, all with predictable returns.(...)
Persistent link: https://www.econbiz.de/10005846570
In this paper, we identify and document the empirical characteristics of the key drivers ofconvertible arbitrage as a strategy and how they impact the performance of convertible arbitragehedge funds. We show that the returns of a buy-and-hedge strategy involving taking a longposition in...
Persistent link: https://www.econbiz.de/10009284854
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns, we find that five factors explain 96.5% of the...
Persistent link: https://www.econbiz.de/10001528975