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In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market
Bai, Jennie - 2019
factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond … returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting … that institutional investors dominating the bond market hold well-diversified portfolios with a negligible exposure to bond …
Persistent link: https://www.econbiz.de/10012479944
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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
Longstaff, Francis A. - 2002
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …
Persistent link: https://www.econbiz.de/10012469394
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Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
Gallmeyer, Michael F. - 2007
historical bond data …
Persistent link: https://www.econbiz.de/10012465408
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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
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Equity Volatility and Corporate Bond Yields
Campbell, John Y. - 2002
This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … to explain recent increases in corporate bond yields …
Persistent link: https://www.econbiz.de/10012469753
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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
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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
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Rational Pessimism, Rational Exuberance, and Asset Pricing Models
Bansal, Ravi - 2007
The paper estimates and examines the empirical plausibiltiy of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run risks model of Bansal and Yaron (2004), low...
Persistent link: https://www.econbiz.de/10012465547
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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
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Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
Campbell, John - 1993
return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …
Persistent link: https://www.econbiz.de/10012474630