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Bond risk premia and restrictions on risk prices
Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...
Persistent link: https://www.econbiz.de/10011961381
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Bond risk premia in a small open economy with volatile capital flows : the case of Korea
Yun, Jaeho - In: Journal of international money and finance 93 (2019), pp. 223-243
Persistent link: https://www.econbiz.de/10012138637
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The interest rate effects of government bond purchases away from the lower bound
De Rezende, Rafael B. - In: Journal of international money and finance 74 (2017), pp. 165-186
Persistent link: https://www.econbiz.de/10011787934
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Sovereign bond yield spreads : a time-varying coefficient approach
Bernoth, Kerstin; Erdogan, Burcu - In: Journal of international money and finance 31 (2012) 3, pp. 639-656
Persistent link: https://www.econbiz.de/10009632010
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Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy
Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54
Persistent link: https://www.econbiz.de/10012000302
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011553303
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Time-varying risk and the relation between idiosyncratic risk and stock return
Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16
This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...
Persistent link: https://www.econbiz.de/10012628441
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Are the Fama-French factors really compensation for distress risk?
Groot, Wilma de; Huij, Joop - In: Journal of international money and finance 86 (2018), pp. 50-69
Persistent link: https://www.econbiz.de/10012000470
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Credit spreads, business conditions, and expected corporate bond returns
Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34
Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns … controls. The credit spread index and its components have more predictive power for bond returns than conventional default and … more predictive power for future bond returns. The source of the index's predictive power is from its ability to forecast …
Persistent link: https://www.econbiz.de/10012173990
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The equity curve and its relation to future stock returns
Stotz, Olaf - In: Journal of risk and financial management : JRFM 13 (2020) 2/19, pp. 1-16
Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...
Persistent link: https://www.econbiz.de/10012173992