Showing 1 - 10 of 323
This article provides a stochastic valuation framework for bond and stock returns that builds on three different …
Persistent link: https://www.econbiz.de/10012471438
This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in …
Persistent link: https://www.econbiz.de/10012477619
the bond and repurchase, so that future capital losses may be realized short term; and raising the basis through sale of … the bond and repurchase in order to deduct from ordinary income the amortized premium. Because of the interaction of these … substantially from the buy-and-hold policy irrespective of whether the bondholder is a bank, a bond dealer, or an individual. We …
Persistent link: https://www.econbiz.de/10012477915
historical bond data …
Persistent link: https://www.econbiz.de/10012465408
I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes … corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs …
Persistent link: https://www.econbiz.de/10012466202
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10012467596
-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …
Persistent link: https://www.econbiz.de/10012467934
exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the …
Persistent link: https://www.econbiz.de/10012468608
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …
Persistent link: https://www.econbiz.de/10012469394
This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on … in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …. Though the return-forecasting factor accounts for more than 99% of the time-variation in expected excess bond returns, we …
Persistent link: https://www.econbiz.de/10012469532