Narrow search
Showing 1 - 10 of 10,240
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Dynamics of Bond and Stock Returns
Kozak, Serhiy - 2019
I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces … time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign …-flow) shocks produce comovement of bond and stock returns and positive term premium. The relative strength of these two mechanisms …
Persistent link: https://www.econbiz.de/10012904335
Cover Image
The Yield Curve and the Stock Market : Mind the Long Run
Faria, Gonçalo - 2019
We extract cycles from the term spread and study their role for predicting the equity premium using linear models. When properly extracted, the trend of the term spread is a strong and robust out-of-sample equity premium predictor, both from a statistical and an economic point of view. It...
Persistent link: https://www.econbiz.de/10012865561
Cover Image
Bond risk's role in the equity risk-return tradeoff
Bansal, Naresh K.; Stivers, Christopher T. - In: Journal of financial markets 60 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013397895
Cover Image
Distress risk premia in expected stock and bond returns
Zhang, Andrew Jianzhong - In: Journal of banking & finance 36 (2012) 1, pp. 225-238
Persistent link: https://www.econbiz.de/10009411138
Cover Image
The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69
Persistent link: https://www.econbiz.de/10011799154
Cover Image
The 'Fed Model' and the Changing Correlation of Stock and Bond Returns : An Equilibrium Approach
Hasseltoft, Henrik - 2009
the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …
Persistent link: https://www.econbiz.de/10014209829