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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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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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What's in your 403(b)? Academic retirement plans and the costs of underdiversification
Angus, John; Brown, William O.; Smith, Janet Kiholm; … - 2005
Many college and university 403(b) plans restrict the menu of investment choices to funds offered by TIAA-CREF, the current manager of over half of all 403(b) contributions. Further, in the face of Internal Revenue Code changes that will take effect in 2006 and will make 403(b) plan ERISA...
Persistent link: https://www.econbiz.de/10010276762
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The Cross-Section of Positively Weighted Portfolios
Niedermayer, Daniel; Zimmermann, Heinz - 2007
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10011390622
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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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 … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …
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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Monetary Policy Shocks and Portfolio Choice
Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009
between bond flows and bond returns. The findings thus provide evidence for the presence of a portfolio rebalancing motive … on monetary policy shocks. The results also shed light on the puzzle of the strongly time-varying equity-bond return …
Persistent link: https://www.econbiz.de/10011605168
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The Benefits of Creating an Integrated EU Market for Investment Funds
Heinemann, Friedrich - 2002
The fast growing EU market for investment funds is still characterised by a continuing relevance of national borders. This papers assesses this market?s degree of integration, the potential benefits from more integration and the obstacles to cross-border sales of funds. The analysis shows that...
Persistent link: https://www.econbiz.de/10010298094
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A factor risk model with reference returns for the US dollar and Japanese yen bond markets
Bernadell, Carlos; Coche, Joachim; Nyholm, Ken - 2006
Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …
Persistent link: https://www.econbiz.de/10011604687