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Are Swap and Bond Markets Alternatives to Each Other in Turkey?
Duran, Murat; Kucuksarac, Doruk - Türkiye Cumhuriyet Merkez Bankası - 2012
the cross currency swap rates and treasury bond yields of 1-month to 4-year tenures by the cointegration testing procedure … and treasury bond yields have a one-to-one long-run equilibrium relationship and hence the deviations from the equilibrium …
Persistent link: https://www.econbiz.de/10010941440
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The term structure of inflation expectations
Chernov, Mikhail; Mueller, Philippe - In: Journal of Financial Economics 106 (2012) 2, pp. 367-394
We use information in the term structure of survey-based forecasts of inflation to estimate a factor hidden in the nominal yield curve. We construct a model that accommodates forecasts over multiple horizons from multiple surveys and Treasury real and nominal yields by allowing for differences...
Persistent link: https://www.econbiz.de/10010593833
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Monetary policy regimes and the term structure of interest rates
Bikbov, Ruslan; Chernov, Mikhail - In: Journal of Econometrics 174 (2013) 1, pp. 27-43
US monetary policy is investigated using a regime-switching no-arbitrage term structure model that relies on inflation, output, and the short interest rate as factors. The model is complemented with a set of assumptions that allow the dynamics of the private sector to be separated from monetary...
Persistent link: https://www.econbiz.de/10010662498
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Risks in macroeconomic fundamentals and excess bond returns predictability
Rezende, Rafael B. De - Sveriges Riksbank - 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10011166104
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Measuring Equity Risk with Option-Implied Correlations
Buss, Adrian - 2012
We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk-return relation, not detectable with standard rolling-window betas,...
Persistent link: https://www.econbiz.de/10012712556
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Testing Asymmetric-Information Asset Pricing Models
Kelly, Bryan T. - 2011
Modern asset pricing theory is based on the assumption that investors have heterogeneous information. We provide direct …
Persistent link: https://www.econbiz.de/10012713974
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Global, Local, and Contagious Investor Sentiment
Baker, Malcolm P. - 2012
We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...
Persistent link: https://www.econbiz.de/10012754854
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Do Stock Prices Move too Much to be Justified by Changes in Dividends? Evidence from Real Estate Investment Trusts
Muhlhofer, Tobias - 2010
A central issue in asset pricing is whether asset prices move too much in relation to cash flows. We take advantage of the existence of two parallel markets for a set of cash flows to show that better measurement of cash flows can dramatically improve the performance of a dynamic dividend...
Persistent link: https://www.econbiz.de/10012715324
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CAPM with Option-Implied Betas : Another Rescue Attempt
Buss, Adrian - 2009
We test the conditional CAPM with time-varying forward-looking betas, assuming a two-state model for the market risk premium. For market state identification we employ a recursive Markov-switching model based on a forward-looking Sentiment factor. The empirical results for our sample of...
Persistent link: https://www.econbiz.de/10012719192
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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10010851243