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Quoted spreads and trade imbalance dynamics in the European treasury bond market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010

Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...

Persistent link: https://www.econbiz.de/10008798823

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2019

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in recessions and declines much more gradually during the...

Persistent link: https://www.econbiz.de/10012129784

The rate of return on everything, 1870-2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018

This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...

Persistent link: https://www.econbiz.de/10011794864

Sovereign bonds since Waterloo

Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019

This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...

Persistent link: https://www.econbiz.de/10011973856

The role of pricing errors in linear asset pricing models with strong, semi-strong, and latent factors

Pesaran, M. Hashem; Smith, Ron - 2023

This paper examines the role of pricing errors in linear factor pricing models, allowing for observed strong and semi-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the estimation of risk premia but also in...

Persistent link: https://www.econbiz.de/10013549135

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …

Persistent link: https://www.econbiz.de/10012547050