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Are Stocks Really Less Volatile in the Long Run?
Pastor, Lubos - 2009
According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …
Persistent link: https://www.econbiz.de/10012764748
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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
Andersen, Torben G. - 2010
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term …-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely …-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond …
Persistent link: https://www.econbiz.de/10012760310
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The Level and Volatility of Interest Rates in the United States : the Roles of Expected Inflation, Real Rates, and Taxes
Makin, John H.; Tanzi, Vito - 2021
implications of a broad range of U.S. tax code provisions for behavior of interest rates. Determinants of interest rate volatility …
Persistent link: https://www.econbiz.de/10013240983
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An Empirical Analysis of the Swaption Cube
Trolle, Anders B. - 2010
-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …
Persistent link: https://www.econbiz.de/10013135764
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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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A Preferred-Habitat Model of the Term Structure of Interest Rates
Vayanos, Dimitri - 2009
We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs. Because arbitrageurs are risk averse, shocks to clienteles' demand for bonds affect the term structure---and...
Persistent link: https://www.econbiz.de/10013155019
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Predictive Regressions : A Present-Value Approach
van Binsbergen, Jules H. - 2010
We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict...
Persistent link: https://www.econbiz.de/10013139284
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Asset Allocation
Wachter, Jessica A. - 2010
This review article describes recent literature on asset allocation, covering both static and dynamic models. The article focuses on the bond--stock decision and on the implications of return predictability. In the static setting, investors are assumed to be Bayesian, and the role of various...
Persistent link: https://www.econbiz.de/10013139518
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Household Stock Market Beliefs and Learning
Kezdi, Gabor - 2011
This paper characterizes heterogeneity of the beliefs of American households about future stock market returns, provides an explanation for that heterogeneity and establishes its relationship to stock holding behavior. We find substantial belief heterogeneity that is puzzling since households...
Persistent link: https://www.econbiz.de/10013118132
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The Recovery Theorem
Ross, Stephen A. - 2011
We can only estimate the distribution of stock returns but we observe the distribution of risk neutral state prices. Risk neutral state prices are the product of risk aversion - the pricing kernel - and the natural probability distribution. The Recovery Theorem enables us to separate these and...
Persistent link: https://www.econbiz.de/10013121065