Similar Search Results

Interpreting implied risk-neutral densities

Hördahl, Peter; Vestin, David - 2003

This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...

Persistent link: https://www.econbiz.de/10009635905

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co … established as long as one is able to observe a proxy for the foreign cash order flow. Then, the asset pricing model is decomposed … into the standard ICCAPM no-arbitrage setup characterized by a pricing kernel, in which, however, the u0093autarkyu0094 …

Persistent link: https://www.econbiz.de/10009636537

Fundamentals and joint currency crises

Hartmann, Philipp; Straetmans, Stefan; Vries, Casper de - 2004

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

Persistent link: https://www.econbiz.de/10009636547

Sovereign risk premia in the European government bond market

Bernoth, Kerstin; Hagen, Jürgen/von; Schuknecht, Ludger - 2004

pricing of the member states. …

Persistent link: https://www.econbiz.de/10009639423

Do demographic changes affect risk premiums?

Ang, Andrew; Maddaloni, Angela - 2003

We examine the link between equity risk premiums and demographic changes using a very long sample over the whole twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic...

Persistent link: https://www.econbiz.de/10009639859

Myopic loss aversion, disappointment aversion, and the equity premium puzzle

Fielding, David; Stracca, Livio - 2003

This paper takes a close look at the 'behavioural finance' explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a simple specification of loss and disappointment aversion...

Persistent link: https://www.econbiz.de/10009639864

Multimarket trading and the cost of debt

Petrasek, Lubomir - 2010

Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt. Using a sample of primary and secondary market...

Persistent link: https://www.econbiz.de/10009640328

Epstein-Zin preferences and their use in macro-finance models

Darracq Pariès, Matthieu; Loublier, Alexis - 2010

for both asset pricing and macroeconomic allocation under a welfare-based monetary policy conduct. Against this background …

Persistent link: https://www.econbiz.de/10009640331

1
2
3
4
5
6
7
8
9
10
Next
Last