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A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
Bansal, Ravi - 2012
We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a...
Persistent link: https://www.econbiz.de/10013100993
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Credit Market Freezes
Benmelech, Efraim - 2017
Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically observed during financial crises. In the financial crisis of 2008-09, the structured credit market froze, issuance of corporate bonds declined, and secondary credit markets became...
Persistent link: https://www.econbiz.de/10012954001
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Bad News Travels Slowly : Size, Analyst Coverage and the Profitability of Momentum Strategies
Hong, Harrison G. - 2008
and Titman (1993). We test one such theory--based on the gradual-information-diffusion model of Hong and Stein (1997)--and …
Persistent link: https://www.econbiz.de/10012774896
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Alpha and Performance Measurement : The Effects of Investor Disagreement and Heterogeneity
Ferson, Wayne E. - 2013
The literature has not unambiguously established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. However, when alpha is defined using the client's marginal utility function, a client faced with a positive alpha would generally want to buy. When...
Persistent link: https://www.econbiz.de/10013077226
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A Factor Analysis of Bond Risk Premia
Ludvigson, Sydney C. - 2010
This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal...
Persistent link: https://www.econbiz.de/10013152009
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The Behavior of Intoxicated Investors : The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Manconi, Alberto - 2010
Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...
Persistent link: https://www.econbiz.de/10013140999
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Flights to Safety
Baele, Lieven - 2013
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...
Persistent link: https://www.econbiz.de/10013081241
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Foreign Participation in Local Currency Bond Markets
Burger, John D. - 2010
Countries that cannot attract foreigners to invest in their local currency bonds run the risk of currency mismatches that can result in painful crises. We analyze foreign participation in the bond markets of over 40 countries. Bond markets in less developed countries have returns characterized...
Persistent link: https://www.econbiz.de/10012760626
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Decision Fatigue and Heuristic Analyst Forecasts
Hirshleifer, David A. - 2018
firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as … closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by … issuing a rounded forecast. Finally, we find that the stock market understands these effects and discounts for analyst …
Persistent link: https://www.econbiz.de/10012926415
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Market Reactions to Tangible and Intangible Information
Daniel, Kent D. - 2010
We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...
Persistent link: https://www.econbiz.de/10012762814