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Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
Vayanos, Dimitri; Guibaud, Stéphane; Nosbusch, Yves - National Bureau of Economic Research (NBER) - 2013
the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk …
Persistent link: https://www.econbiz.de/10010969262
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Foreign Ownership of U.S. Safe Assets: Good or Bad?
Ludvigson, Sydney C.; Van Nieuwerburgh, Stijn; … - National Bureau of Economic Research (NBER) - 2014
-aged savers may suffer from greater exposure to systematic risk in equity and housing markets. Under the veil of ignorance, a …
Persistent link: https://www.econbiz.de/10010969327
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Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
Panageas, Stavros; Gârleanu, Nicolae; Yu, Jianfeng - National Bureau of Economic Research (NBER) - 2013
We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Despite the ex-ante symmetry of investors, their strategies...
Persistent link: https://www.econbiz.de/10010969417
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - National Bureau of Economic Research (NBER) - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between … high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also … performance of the model. The DR-CAPM can jointly rationalize the cross section of equity, equity index options, commodity …
Persistent link: https://www.econbiz.de/10010969442
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Time Varying Risk Aversion
Guiso, Luigi; Sapienza, Paola; Zingales, Luigi - National Bureau of Economic Research (NBER) - 2013
We use a repeated survey of an Italian bank's clients to test whether investors' risk aversion increases following the … 2008 financial crisis. We find that both a qualitative and a quantitative measure of risk aversion increases substantially …
Persistent link: https://www.econbiz.de/10010950696
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Momentum Crashes
Daniel, Kent; Moskowitz, Tobias J. - National Bureau of Economic Research (NBER) - 2014
" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …
Persistent link: https://www.econbiz.de/10010950741
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Matching Capital and Labor
Berk, Jonathan B.; Binsbergen, Jules H. van; Liu, Binying - National Bureau of Economic Research (NBER) - 2014
We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms. At least 30% of the value mutual fund managers add can be attributed to the firm's role in efficiently allocating capital amongst its mutual fund managers. We find no evidence of a...
Persistent link: https://www.econbiz.de/10010950822
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Growth Expectations, Dividend Yields, and Future Stock Returns
Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...
Persistent link: https://www.econbiz.de/10010950997
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A Mean-Variance Benchmark for Intertemporal Portfolio Theory
Cochrane, John H. - National Bureau of Economic Research (NBER) - 2013
an indexed perpetuity - the risk-free payoff - and a long-run mean-variance efficient payoff. "Long-run" moments sum over …
Persistent link: https://www.econbiz.de/10010951072
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Market Liquidity -- Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - National Bureau of Economic Research (NBER) - 2012
In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity...
Persistent link: https://www.econbiz.de/10010951230