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Global Yield Curve Dynamics and Interactions : A Dynamic Nelson-Siegel Approach
Diebold, Francis X. - 2007
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...
Persistent link: https://www.econbiz.de/10012465058
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 1994
unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …
Persistent link: https://www.econbiz.de/10012474312
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Common Shocks in Stocks and Bonds
Cieslak, Anna - 2020
risk-premium shocks--time-varying compensation for discount-rate and cash-flow news--which have distinct effects on stocks …
Persistent link: https://www.econbiz.de/10012482403
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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation
Gandhi, Priyank - 2010
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/10012462104
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The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles - 1993
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …
Persistent link: https://www.econbiz.de/10012474666
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk … premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the …
Persistent link: https://www.econbiz.de/10012457922
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The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014247914
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The Effects of War Risk on U.S. Financial Markets
Rigobon, Roberto - 2003
This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a...
Persistent link: https://www.econbiz.de/10012469089
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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/10012458307
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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/10012470152