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The behaviour of the equity yield and its relation with the bond yield : the role of inflation
McMillan, David G. - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18
Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …
Persistent link: https://www.econbiz.de/10011963922
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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/10003832616
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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 - 2021
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/10013316384
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The anatomy of government bond yields synchronization in the Eurozone
Barbieri, Claudio; Guerini, Mattia; Napoletano, Mauro - 2021
We investigate the synchronization of Eurozone's government bond yields at different maturities. For this purpose, we …
Persistent link: https://www.econbiz.de/10012497031
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Collateral Haircuts and Bond Yields in the European Government Bond Markets
Nguyen, Minh - 2020
bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …
Persistent link: https://www.econbiz.de/10012851746
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a …
Persistent link: https://www.econbiz.de/10012655372
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Swedish stock and bond returns, 1856 - 2012
Waldenström, Daniel - 2014
This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...
Persistent link: https://www.econbiz.de/10010360953
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Swedish stock and bond returns, 1856 - 2012
Waldenström, Daniel - 2014
This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...
Persistent link: https://www.econbiz.de/10010391440
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …
Persistent link: https://www.econbiz.de/10010467093