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This paper analyzes the relation between country specific high-frequency activity indicators and bond holdings in the … portfolio of global investors. Based on positions from more than 20,000 investment funds, we show that bond flows are clearly … important drivers of bond purchases. We show that this effect of activity data - as captured by the Purchasing Managers' Indices …
Persistent link: https://www.econbiz.de/10013235395
This paper analyzes the relation between country specific high-frequency activity indicators and bond holdings in the … portfolio of global investors. Based on positions from more than 20,000 investment funds, it finds that bond flows are … important drivers of bond purchases. This effect of activity data - as captured by the Purchasing Managers' Indices (PMIs) - is …
Persistent link: https://www.econbiz.de/10013314206
Economic assets can be classified into two broad categories: those earning an inherent return and those earning a fiat money return. This article shows that both are valued according to the same general principle based on GDP (a constant equal to expected long term real per capita GDP growth)...
Persistent link: https://www.econbiz.de/10013405892
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10013132852
Persistent link: https://www.econbiz.de/10003556922
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011617371
macroeconomic shocks can reproduce time-varying stock and bond return correlations. Macroeconomic shocks generate sizable positive …
Persistent link: https://www.econbiz.de/10012919073
Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...
Persistent link: https://www.econbiz.de/10013239541
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/10010478516
This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …
Persistent link: https://www.econbiz.de/10012937778