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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
Longstaff, Francis A. - 2002
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …
Persistent link: https://www.econbiz.de/10012787067
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Tax Reform and the Market for Tax-Exempt Debt
Poterba, James M. - 2002
changes in expected individual tax rates, a finding that refutes theories of municipal bond pricing that focus exclusively on … municipal bond market was segmented, with different investor clienteles at short and long maturities. The Tax Reform Act of 1986 … is likely to affect this market, however, since it has restricted tax benefits from tax-exempt bond investment by …
Persistent link: https://www.econbiz.de/10012787429
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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
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The Shifting Drivers of Global Liquidity
Avdjiev, Stefan - 2017
The sensitivity of the main global liquidity components, international loan and bond flows, to global factors varied …
Persistent link: https://www.econbiz.de/10012952502
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U.S. Investment in Global Bonds : As the Fed Pushes, Some Emes Pull
Burger, John D. - 2014
We analyze reallocations within the international bond portfolios of US investors. The most striking empirical … economic growth. We also provide a descriptive analysis of global bond markets' structure and returns …
Persistent link: https://www.econbiz.de/10013045646
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The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets
Burger, John D. - 2017
We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …
Persistent link: https://www.econbiz.de/10012950839
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Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms
Bordo, Michael D. - 2011
This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...
Persistent link: https://www.econbiz.de/10013127756
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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation
Gandhi, Priyank - 2015
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is...
Persistent link: https://www.econbiz.de/10013038431
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U.S. Stock Market Crash Risk, 1926-2006
Bates, David S. - 2009
This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration approaches, the methodology recursively updates the...
Persistent link: https://www.econbiz.de/10013160343
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Why are Foreign Firms Listed in the U.S. Worth More?
Doidge, Craig - 2002
At the end of 1997, the foreign companies listed in the U.S. have a Tobin's q ratio that exceeds by 16.5% the q ratio of firms from the same country that are not listed in the U.S. The valuation difference is statistically significant and largest for exchange-listed firms, where it reaches 37%....
Persistent link: https://www.econbiz.de/10012787423