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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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A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Alekseev, Georgij; Giglio, Stefano; Maingi, Quinn; … - National Bureau of Economic Research - 2022
We propose a new methodology to build portfolios that hedge the economic and financial risks from climate change. Our quantity-based approach exploits information on how mutual fund managers trade in response to idiosyncratic changes in their climate risk beliefs. We exploit two types of...
Persistent link: https://www.econbiz.de/10013477195
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
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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
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The Tax Advantages of Pension Fund Investments in Bonds
Black, Fischer - 1980
I believe that every tax-paying firm's defined benefit pension fund portfolio should be invested entirely in bonds (or insurance contracts). Although the firm's pension funds are legally distinct from the firm, there is a close tie between the performance of the pension fund investments and the...
Persistent link: https://www.econbiz.de/10012478602
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What Does Equity Sector Orderflow Tell Us about the Economy?
Beber, Alessandro - 2010
foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even …
Persistent link: https://www.econbiz.de/10012462123