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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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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/10010391440
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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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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
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Predictability of Treasury Bond Returns : Risk Premia or Overreaction?
Rebonato, Riccardo - 2019
We examine whether the predictability and business-cycle dependence of excess returns in US Treasuries can be more naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the extremely parsimonious cognitive-bias model in...
Persistent link: https://www.econbiz.de/10012893290
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Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
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Bond Pricing Pedagogy and One-Step Bond Pricing
Arnold, Tom - 2012
Pricing bonds is generally one of the earliest applications of time value of money in a finance curriculum. A bond … security. This paper works through the pedagogy of bond pricing and extends the traditional bond pricing formula in a manner … about bond pricing and the time value of money …
Persistent link: https://www.econbiz.de/10013104140