Narrow search
Showing 1 - 10 of 148
Cover Image
The Muni Bond Spread : Credit, Liquidity, and Tax
Ang, Andrew - 2014
Municipal (muni) bonds are risky and trade in illiquid markets, and both effects serve to raise muni yields relative to Treasuries. On the other hand, the tax exemption of muni bonds tends to lower their yields. We decompose the muni yield spread into credit, liquidity, and tax components....
Persistent link: https://www.econbiz.de/10013048212
Cover Image
International asset allocation with time-varying correlations
Ang, Andrew; Bekaert, Geert - 1999
Persistent link: https://www.econbiz.de/10001379604
Cover Image
International asset allocation with regime shifts
Ang, Andrew; Bekaert, Geert - In: The review of financial studies 15 (2002) 4, pp. 1137-1187
Persistent link: https://www.econbiz.de/10001716088
Cover Image
Short rate nonlinearities and regime switches
Ang, Andrew; Bekaert, Geert - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1243-1274
Persistent link: https://www.econbiz.de/10001656086
Cover Image
Trends and Cycles of Style Factors in the 20th and 21st Centuries
Ang, Andrew - 2022
volatility portfolios still significantly reduce equity market risk in the 21st century, but the factor spends slightly longer …
Persistent link: https://www.econbiz.de/10014235758
Cover Image
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
Ang, Andrew; Longstaff, Francis A. - National Bureau of Economic Research (NBER) - 2011
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...
Persistent link: https://www.econbiz.de/10009002580
Cover Image
The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10010951430
Cover Image
The Cross-Section of Volatility and Expected Returns
Ang, Andrew; Hodrick, Robert James; Xing, Yuhang; … - National Bureau of Economic Research (NBER) - 2004
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we … find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average …
Persistent link: https://www.econbiz.de/10005710641
Cover Image
The Cross-Section of Volatility and Expected Returns
Ang, Andrew - 2011
We examine how volatility risk, both at the aggregate market and individual stock level, is priced in the cross …-section of expected stock returns. Stocks that have past high sensitivities to innovations in aggregate volatility have low … average returns. We also find that stocks with past high idiosyncratic volatility have abysmally low returns, but this cannot …
Persistent link: https://www.econbiz.de/10012757204
Cover Image
Systemic Sovereign Credit Risk : Lessons from the U.S. and Europe
Ang, Andrew - 2011
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...
Persistent link: https://www.econbiz.de/10013126657