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When Bonds Matter : Home Bias in Goods and Assets

Coeurdacier, Nicolas - 2011

share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data … foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from …

Persistent link: https://www.econbiz.de/10013118846

Macroeconomic Drivers of Bond and Equity Risks

Campbell, John Y. - 2014

changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond …

Persistent link: https://www.econbiz.de/10013054872

A Multivariate Model of Strategic Asset Allocation

Campbell, John Y. - 2001

Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...

Persistent link: https://www.econbiz.de/10012787560

On the Determinants of the Value of Call Options on Default-Free Bonds

Buser, Stephen Aubrey - 2008

produce similar estimates of bond option values. This result is established for simple option forms with known closed …

Persistent link: https://www.econbiz.de/10012774565

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2010

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

Persistent link: https://www.econbiz.de/10013151357

Riding the Bubble? Chasing Returns into Illiquid Assets

Yagan, Danny - 2014

Household investors chase stock market returns. Surveys suggest that households intend to "ride the bubble" by buying stocks early in a boom and selling stocks early in a bust. This implies that households use only liquid assets to chase returns. I test this prediction using inflows to fixed...

Persistent link: https://www.econbiz.de/10013049679

Facts and Fantasies About Commodity Futures Ten Years Later

Bhardwaj, Geetesh - 2015

Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively...

Persistent link: https://www.econbiz.de/10013021473

Fixing Capital Gains : Symmetry, Consistency and Correctness in the Taxation of Financial Instruments

Bradford, David F. - 2021

A great deal of effort and ingenuity has been addressed to patching holes in the income tax attributable to realization accounting. A classic instance of the problem is the headachescreated by capital gains, whereby the taxpayer can choose to postpone recognition of gain and accelerate...

Persistent link: https://www.econbiz.de/10013237937

Borrowing Costs and the Demand for Equity Over the Life Cycle

Davis, Steven J. - 2010

We analyze consumption and portfolio behavior in a life-cycle model with realistic borrowing costs and income processes. We show that even a small wedge between borrowing costs and the risk-free return dramatically shrinks the demand for equity. When the cost of borrowing equals or exceeds the...

Persistent link: https://www.econbiz.de/10012762900

The Rate of Return to Corporate Capital and Factor Shares : New Estimatesusing Revised National Income Accounts and Capital Stock Data

Poterba, James M. - 2010

This paper presents new evidence on the rate of return on tangible assets in the Unitedquot; States, incorporating the recently-revised national accounts as well as new estimates of thequot; replacement cost of the reproducible physical capital stock. The pretax return on capital in thequot;...

Persistent link: https://www.econbiz.de/10012763634