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Ludvigson, Sydney C. - 2009

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

Persistent link: https://www.econbiz.de/10012463461

Corporate Social Responsibility

Hong, Harrison G.; Shore, Edward P. - National Bureau of Economic Research - 2022

Is shareholder interest in corporate social responsibility driven by pecuniary motives (abnormal rates of return) or non-pecuniary ones (willingness to sacrifice returns to address various firm externalities)? To answer this question, we categorize the literature into seven tests: (1) costs of...

Persistent link: https://www.econbiz.de/10013477263

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

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

The Real Explanation of Nominal Bond-Stock Puzzles

Chernov, Mikhail; Lochstoer, Lars A.; Song, Dongho - National Bureau of Economic Research - 2021

implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …

Persistent link: https://www.econbiz.de/10012599375

Measuring the Perceived Liquidity of the Corporate Bond Market

Chernenko, Sergey - 2020

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross …

Persistent link: https://www.econbiz.de/10012481676

Common Shocks in Stocks and Bonds

Cieslak, Anna - 2020

We propose an approach to identifying economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors'...

Persistent link: https://www.econbiz.de/10012482403

The Bond Market's q

Philippon, Thomas - 2006

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

Modeling Bond Yields in Finance and Macroeconomics

Diebold, Francis X. - 2005

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

The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets

Burger, John D. - 2017

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

Persistent link: https://www.econbiz.de/10012455054

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