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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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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - 2009
captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …
Persistent link: https://www.econbiz.de/10011605091
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Stock returns and expected business conditions: Half a century of direct evidence
Campbell, Sean D.; Diebold, Francis X. - 2005
We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...
Persistent link: https://www.econbiz.de/10010298269
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011538004
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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10011422182
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Explaining the Bond-CDS Basis: The role of credit risk and liquidity
Bühler, Wolfgang; Trapp, Monika - 2009
We explore the relationship between CDS premia and bond asset swap spreads on the same reference entity. As Duffie … (1999) shows, there is a clear theoretical link between CDS premia and bond prices if the two quantities are viewed as a … pure measure of credit risk. However, many studies provide evidence that factors other than credit risk seem to affect bond …
Persistent link: https://www.econbiz.de/10010302543
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Can the consumption-free nonexpected utility model solve the risk premium puzzle? An empirical study of the Japanese stock market
Kang, Myong-Il - 2010
This paper investigates whether the consumption-free two-beta intertemporal capital asset-pricing model developed by Campbell and Vuolteenaho (2004) is able to solve the risk premium puzzle in the Japanese stock market over the period 1984-2002. Using the cash flow and discount rate betas as...
Persistent link: https://www.econbiz.de/10010332445
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Do markets care about central bank governor changes?: evidence from emerging markets
Moser, Christoph; Dreher, Axel - 2007
sovereign bond spreads to central bank governor changes. The data cover 20 emerging markets over the period 1992-2006. We find …
Persistent link: https://www.econbiz.de/10010275868
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse
Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003
Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche … am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen- Regressionen, dass … Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt. …
Persistent link: https://www.econbiz.de/10010297296
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A multiple factor model for European stocks
Stephan, Thomas G.; Maurer, Raimond; Dürr, Martin - 2000
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European …
Persistent link: https://www.econbiz.de/10010316262