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Ludvigson, Sydeny C. - 2005

and yield spreads, a violation of the expectations hypothesis based on constant risk premia. But existing evidence does … if the forecastability were attributable to time variation in risk premia. We use the methodology of dynamic factor …

Persistent link: https://www.econbiz.de/10012466969

Expected Returns, Yield Spreads, and Asset Pricing Tests

Campello, Murillo - 2005

We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much...

Persistent link: https://www.econbiz.de/10012467360

Does Risk Explain Anomalies? Evidence from Expected Return Estimates

Wu, Jin Ginger - 2010

evidence implies that returns of most anomalies are unexpected, and that mispricing, not risk, is the main driving force of …

Persistent link: https://www.econbiz.de/10012462701

Consumption Strikes Back? : Measuring Long-Run Risk

Hansen, Lars Peter - 2005

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …

Persistent link: https://www.econbiz.de/10012467203

Prepayment Risk and Expected MBS Returns

Diep, Peter - 2016

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

Persistent link: https://www.econbiz.de/10012455829

Back to the 1980s or Not? : The Drivers of Inflation and Real Risks in Treasury Bonds

Pflueger, Carolin E. - National Bureau of Economic Research - 2023

, demand shocks, and monetary policy are the fundamental drivers of inflation. Endogenously time-varying risk premia imply that …

Persistent link: https://www.econbiz.de/10014226118

Intermediary Balance Sheets and the Treasury Yield Curve

Du, Wenxin; Hébert, Benjamin; Li, Wenhao - National Bureau of Economic Research - 2022

We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net...

Persistent link: https://www.econbiz.de/10013334440

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 bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium in Treasury bonds, which can be more than fifteen percent...

Persistent link: https://www.econbiz.de/10012469394

Forecasting the Term Structure of Government Bond Yields

Diebold, Francis X. - 2003

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Persistent link: https://www.econbiz.de/10012468646

Price Discovery in the U.S. Treasury Market : The Impact of Orderflow and Liquidity on the Yield Curve

Brandt, Michael W. - 2003

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in...

Persistent link: https://www.econbiz.de/10012469173

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