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Non-linear predictability in stock and bond returns: When and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 2008
-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth …-linear dynamics, especially of the Markov switching type. Although occasionally also stock and bond return forecasts for other G7 …
Persistent link: https://www.econbiz.de/10010277939
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
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/10011506640
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Konstruktion einer Anleihe mit hypothekarischer Besicherung
Alram, Johannes - 2009
This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … 791 cont. and 1184 cont. German Civil Code (Bürgerliches Gesetzbuch). The work shows how to structure the share of common … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt …
Persistent link: https://www.econbiz.de/10010298959
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Exploring the CDS-Bond Basis
De Wit, Jan - 2006
. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect …
Persistent link: https://www.econbiz.de/10011506625
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Stock picking via nonsymmetrically pruned binary decision trees
Andriyashin, Anton - 2008
Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...
Persistent link: https://www.econbiz.de/10010263732
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Borrowing costs and the demand for equity over the life cycle
Davis, Steven J.; Kubler, Felix; Willen, Paul - 2005
We construct a life-cycle model that delivers realistic behavior for both equity holdings and borrowings. The key model ingredient is a wedge between the cost of borrowing and the risk-free investment return. Borrowing can either raise or lower equity demand, depending on the cost of borrowing....
Persistent link: https://www.econbiz.de/10010280861
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Optimal portfolio management for individual pension plans
Gollier, Christian - 2005
share of their pension wealth in risky assets. The ability of young agents to compensate their financial losses by saving …
Persistent link: https://www.econbiz.de/10010261134
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Duration & Dimension
Hallerbach, Winfried G. - 1999
relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond …
Persistent link: https://www.econbiz.de/10010324570
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An empirical analysis of the financing strategy of callable bonds
Ryu, Keunkwan; Wee, Jung Bum - 2001
This paper empirically analyzes the call timing of callable bonds to see how refunding opportunity, cost of financial distress, agency cost of debt, and private information affect the call decision. The empirical results show that firms issue callable bonds, convertible or not, to enjoy future...
Persistent link: https://www.econbiz.de/10010332329
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10010368212