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Monetary Policy, Bond Risk Premia, and the Economy
Ireland, Peter N. - 2015
structural disturbances on output, inflation, and interest rates and to decompose movements in long-term rates into terms …
Persistent link: https://www.econbiz.de/10013015094
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Expected Returns, Yield Spreads, and Asset Pricing Tests
Campello, Murillo; Chen, Long; Zhang, Lu - 2021
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/10013311894
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Global Yield Curve Dynamics and Interactions : A Dynamic Nelson-Siegel Approach
Diebold, Francis X. - 2010
-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …
Persistent link: https://www.econbiz.de/10012759705
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Bond Risk Premia in Consumption-Based Models
Creal, Drew - 2016
inflation risk that co-moves with expected inflation itself …
Persistent link: https://www.econbiz.de/10012993847
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Risk Premia and Term Premia in General Equilibrium
Abel, Andrew B. - 2000
The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless bills. This paper analyzes term premia and the risk...
Persistent link: https://www.econbiz.de/10012788989
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Equilibrium Yield Curves
Piazzesi, Monika - 2007
This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal … growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad … spreads are high in times when inflation news are harder to interpret. This is relevant for periods such as the early 1980s …
Persistent link: https://www.econbiz.de/10012778238
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Croce, Mariano (Max) Massimiliano - 2012
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish …
Persistent link: https://www.econbiz.de/10012755422
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Interest rates, banking spreads and credit supply : the real effects
Barrán Cabrera, Fernando - In: The European journal of finance 3 (1997) 2, pp. 107-136
Persistent link: https://www.econbiz.de/10001224329
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Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
Belo, Frederico - 2012
Many leading asset pricing models predict that the term structures of expected returns and volatilities on dividend strips are strongly upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their exogenously specified dividend...
Persistent link: https://www.econbiz.de/10013099417
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Meteor showers and global asset allocation
Ahmed, Rashad; Hasan, Mohammad S.; Sultan, Jahangir - In: The European journal of finance 26 (2020) 17, pp. 1703-1724
Persistent link: https://www.econbiz.de/10012314648