the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that … multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

-dated yields embed meaningful compensation for bearing duration risk. …

Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading … nonetheless belie a possible tension rather than consistency between leverage constraints and low-risk investing: namely, that …

return distributions are positively skewed, and momentum loads, if in any way, favorably on broad risk factors. Returns … of up to 120 basis points and information ratios as high as 0.79 using U.S. Treasury total return data from December 1996 … through July 2013. Given a corresponding long-short strategy with no absolute duration risk, excess returns and information …

prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver … of MBS spreads and present a new pricing model that uses “stripped” MBS prices to identify the contribution of this risk … to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the …

in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …