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Why does the treasury issue tips? : the tips-treasury bond puzzle
Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - 2010
Persistent link: https://www.econbiz.de/10008663044
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Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
Fleckenstein, Matthias - 2010
We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS-Treasury mispricing has exceeded $56...
Persistent link: https://www.econbiz.de/10012462298
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No news is good news : an asyymmetric model of changing volatility in stock returns
Campbell, John Y.; Hentschel, Ludger - 1991
Persistent link: https://www.econbiz.de/10000817377
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The long-run risks model and aggregate asset prices : an empirical assessment
Beeler, Jason; Campbell, John Y. - 2009
Persistent link: https://www.econbiz.de/10003822202
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Is the volatility of the market price of risk due to intermittent portfolio re-balancing?
Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2009
Persistent link: https://www.econbiz.de/10003889788
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The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2014
Persistent link: https://www.econbiz.de/10010360039
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Does incomplete spanning in international financial markets help to explain exchange rates?
Lustig, Hanno; Verdelhan, Adrien - 2016
Persistent link: https://www.econbiz.de/10011450423
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Can housing collateral explain long-run swings in asset returns?
Lustig, Hanno; Nieuwerburgh, Stijn van - 2006
Persistent link: https://www.econbiz.de/10003399544
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Have individual stocks become more volatile? : An empirical exploration of idiosyncratic risk
Campbell, John Y. (contributor) - 2000
Persistent link: https://www.econbiz.de/10001456475
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Dispersion and volatility in stock returns : an empirical investigation
Campbell, John Y.; Lettau, Martin - 1999
Persistent link: https://www.econbiz.de/10001390215