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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/10012463890
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Movements in Yields, not the Equity Premium : Bernanke-Kuttner Redux
Nagel, Stefan; Xu, Zhengyang - National Bureau of Economic Research - 2024
We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...
Persistent link: https://www.econbiz.de/10015056210
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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. - 1983
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/10012477933
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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. - 2007
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We … find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the …
Persistent link: https://www.econbiz.de/10012465694
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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/10012462108
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Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms
Bordo, Michael D. - 2004
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/10012467986
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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/10012463162
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The Distribution of Investor Beliefs, Stock Ownership and Stock Returns
Hardouvelis, Gikas A.; Karalas, Georgios; Vayanos, Dimitri - National Bureau of Economic Research - 2021
We study theoretically and empirically the relationship between investor beliefs, ownership dispersion and stock returns. We find that high dispersion, measured by high breadth or low Herfindahl index, forecasts returns positively for large stocks, as in Chen, Hong and Stein (2002), but...
Persistent link: https://www.econbiz.de/10012510575
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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/10012462393
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Asset Allocation
Wachter, Jessica - 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/10012462400