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Endogenous Liquidity and Defaultable Bonds

He, Zhiguo - 2012

an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn …

Persistent link: https://www.econbiz.de/10012460252

Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models

Gallmeyer, Michael F. - 2007

historical bond data …

Persistent link: https://www.econbiz.de/10012465408

Bond Risk Premia in Consumption-based Models

Creal, Drew D. - 2016

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

Persistent link: https://www.econbiz.de/10012456492

Stock and Bond Pricing in an Affine Economy

Bekaert, Geert - 1999

This article provides a stochastic valuation framework for bond and stock returns that builds on three different …

Persistent link: https://www.econbiz.de/10012471438

Stock Prices and Bond Yields : Can Their Comovements Be Explained in Terms of Present Value Models?

Shiller, Robert J. - 1990

Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...

Persistent link: https://www.econbiz.de/10012475563

Long-Run Risks and Financial Markets

Bansal, Ravi - 2007

The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price...

Persistent link: https://www.econbiz.de/10012465457

Risk, Uncertainty and Asset Prices

Bekaert, Geert - 2006

We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent...

Persistent link: https://www.econbiz.de/10012466420

Corporate Earnings and the Equity Premium

Longstaff, Francis - 2003

Corporate cash flows are highly volatile and strongly procyclical. We examine the asset-pricing implications of the sensitivity of corporate cash flows to economic shocks within a continuous-time model in which dividends are a stochastic fraction of aggregate consumption. We provide closed-form...

Persistent link: https://www.econbiz.de/10012468640

Rational Asset Prices

Constantinides, George M. - 2002

The mean, co-variability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample...

Persistent link: https://www.econbiz.de/10012469889

Robust-H-infinity Forecasting and Asset Pricing Anomalies

Tornell, Aaron - 2000

We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...

Persistent link: https://www.econbiz.de/10012470997