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When Bonds Matter : Home Bias in Goods and Assets
Coeurdacier, Nicolas - 2011
foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by …
Persistent link: https://www.econbiz.de/10012461098
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RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence
Cong, Lin William; George, Nathan Darden; Wang, Guojun - National Bureau of Economic Research - 2023
We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the...
Persistent link: https://www.econbiz.de/10014226164
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Asset Pricing with Optimal Under-Diversification
Elenev, Vadim; Landvoigt, Tim - National Bureau of Economic Research - 2023
We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain...
Persistent link: https://www.econbiz.de/10014250139
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Optimal Dynamic Asset Allocation with Transaction Costs : The Role of Hedging Demands
Collin-Dufresne, Pierre; Daniel, Kent; Sağlam, Mehmet - National Bureau of Economic Research - 2024
A number of papers have solved for the optimal dynamic portfolio strategy when expected returns are time-varying and trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against future shocks to the investment opportunity set even when transaction...
Persistent link: https://www.econbiz.de/10015094900
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Central Banks, Stock Markets, and the Real Economy
Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2024
This article summarizes empirical research on the interaction between monetary policy and asset markets, and reviews our previous theoretical work that captures these interactions. We present a concise model in which monetary policy impacts the aggregate asset price, which in turn influences...
Persistent link: https://www.econbiz.de/10014468253
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Global Natural Rates in the Long Run : Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies
Davis, Joshua M.; Fuenzalida, Cristian; Huetsch, Leon; … - National Bureau of Economic Research - 2023
Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk …* and π*, and not bond risk premia. Global components of unexpected bond returns are influential, while the local components … theory and previous findings …
Persistent link: https://www.econbiz.de/10014421212
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Natural and Neutral Real Interest Rates : Past and Future
Obstfeld, Maurice - National Bureau of Economic Research - 2023
This paper surveys the decline in real interest rates in advanced and emerging economies over the past several decades, linking that process to a range of global factors that have operated with different force in different periods. The paper argues that estimates of long-run equilibrium real...
Persistent link: https://www.econbiz.de/10014447270
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Financial Integration and Monetary Policy Coordination
Bianchi, Javier; Coulibaly, Louphou - National Bureau of Economic Research - 2023
Financial integration generates macroeconomic spillovers that may require international monetary policy coordination. We show that individual central banks may set nominal interest rates too low or too high relative to the cooperative outcome. We identify three sufficient statistics that...
Persistent link: https://www.econbiz.de/10014447329
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The Real Explanation of Nominal Bond-Stock Puzzles
Chernov, Mikhail; Lochstoer, Lars A.; Song, Dongho - National Bureau of Economic Research - 2021
implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …
Persistent link: https://www.econbiz.de/10012599375
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Inflation and the Role of Bonds in Investor Portfolios
Bodie, Zvi - 1983
to two types, a common stock fund and a money-fixed bond fund of a particular maturity. A second goal is to study the … only two funds, a diversified stock fund and an intermediate-term bond fund. Most of this loss can be eliminated by …
Persistent link: https://www.econbiz.de/10012478011