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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
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
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