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Stock and Bond Pricing in an Affine Economy
Bekaert, Geert - 1999
This article provides a stochastic valuation framework for bond and stock returns that builds on three different …
Persistent link: https://www.econbiz.de/10012471438
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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
Longstaff, Francis A. - 2002
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
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Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
Gallmeyer, Michael F. - 2007
historical bond data …
Persistent link: https://www.econbiz.de/10012465408
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Bond Risk Premia in Consumption-based Models
Creal, Drew D. - 2016
Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …
Persistent link: https://www.econbiz.de/10012456492
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Procyclical Stocks Earn Higher Returns
Goetzmann, William N.; Watanabe, Akiko; Watanabe, Masahiro - National Bureau of Economic Research - 2024
We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use almost a three-quarter century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely...
Persistent link: https://www.econbiz.de/10014544787
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The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated …
Persistent link: https://www.econbiz.de/10014247914
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American Disclosure Options
Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2023
We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur,...
Persistent link: https://www.econbiz.de/10014447256
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How and When are High-Frequency Stock Returns Predictable?
Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...
Persistent link: https://www.econbiz.de/10013362020
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So Many Jumps, So Few News
Aït-Sahalia, Yacine; Li, Chen Xu; Li, Chenxu - National Bureau of Economic Research - 2024
This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market...
Persistent link: https://www.econbiz.de/10014635709
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APT or "AIPT"? The Surprising Dominance of Large Factor Models
Didisheim, Antoine - 2024
We introduce artificial intelligence pricing theory (AIPT). In contrast with the APT's foundational assumption of a low …
Persistent link: https://www.econbiz.de/10015072953