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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...
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with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive … ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …
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We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices. -- General equilibrium ; Continuous-time finance ; Théorie générale of stochastic processes ; Asset pricing ; State prices
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