Narrow search
Showing 1 - 10 of 15,939
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
Cover Image
Bonds, Stocks, and Sources of Mispricing
Avramov, Doron - 2019
overpricing leads to a range of anomalous cross-sectional patterns in stock and bond returns. Including bonds as additional test …
Persistent link: https://www.econbiz.de/10012900733
Cover Image
Bond Return, Spread Change, and the Momentum Effect in Corporate Bond and Stock Markets
Fang, Ming - 2018
corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …
Persistent link: https://www.econbiz.de/10012918313
Cover Image
What Influences Stock Market Reaction to Sukuk Issues? The Impact of Scholars and Sukuk Types
Godlewski, Christophe J. - 2014
There is a large expansion of sukuk, the shari'a-compliant alternative mode of financing compared to conventional bonds, in the recent years. We analyze if the stock market reaction to sukuk issues is influenced by two key features of these instruments: the sukuk type, and the characteristics of...
Persistent link: https://www.econbiz.de/10013058572
Cover Image
Asset price effects of peer benchmarking : evidence from a natural experiment
Acharya, Sushant; Pedraza, Alvaro - 2015
We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a natural experiment involving a change in a government-imposed...
Persistent link: https://www.econbiz.de/10010514042
Cover Image
The Momentum Effect in Country-Level Stock Market Anomalies
Zaremba, Adam - 2019
The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....
Persistent link: https://www.econbiz.de/10012904212
Cover Image
Expected Returns and Risk in the Stock Market
Brennan, Michael J. - 2019
We present new evidence on the predictability of aggregate market returns by developing two new prediction models, one risk-based, and the other purely statistical. The pricing kernel model expresses the expected return as the covariance of the market return with a pricing kernel that is a...
Persistent link: https://www.econbiz.de/10012893237
Cover Image
Consumption-Based Equity Valuation
Bach, Christian - 2016
Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...
Persistent link: https://www.econbiz.de/10013003022
Cover Image
Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
Grobys, Klaus - 2016
Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality...
Persistent link: https://www.econbiz.de/10013003083
Cover Image
Ease-of-processing Heuristics and Asset Prices : Evidence from the Exchange-traded Repo Market in China
Fang, Xuyun - 2020
Prior to May 22, 2017, trading information displayed on certain days of the week and on days prior to market-closed holidays required investors in Chinese exchange-traded repos to infer repos' actual maturities to place orders at appropriate rates. Repo rates on these days exhibited remarkable...
Persistent link: https://www.econbiz.de/10012850204