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Limits to Arbitrage, Investor Sentiment, and Factor Returns in International Government Bond Markets

Zaremba, Adam - 2019

the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor … sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to … arbitrage negatively affect momentum profits …

Persistent link: https://www.econbiz.de/10012893037

Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10002101431

Inference, arbitrage, and asset price volatility

Adrian, Tobias - In: Journal of financial intermediation 18 (2009) 1, pp. 49-64

Persistent link: https://www.econbiz.de/10003813178

The term structure of inflation expectations

Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...

Persistent link: https://www.econbiz.de/10003812556

Leverage asset pricing

Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2013

We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...

Persistent link: https://www.econbiz.de/10009787499

Financial intermediation, asset prices, and macroeconomic dynamics

Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2010

Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...

Persistent link: https://www.econbiz.de/10003948219

Leverage Asset Pricing

Adrian, Tobias - 2013

We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...

Persistent link: https://www.econbiz.de/10013076596

Financial Intermediation, Asset Prices and Macroeconomic Dynamics

Adrian, Tobias - 2010

Persistent link: https://www.econbiz.de/10013149404

Regression-Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias - 2014

We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10013068063

Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Zaremba, Adam - 2015

Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized...

Persistent link: https://www.econbiz.de/10013034279

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