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Fixed income investing : a classic in a time of increased uncertainty
Poufinas, Thomas - 2022
types of bonds, their valuation, the interest rate term structure—then moving to fixed income portfolio management and the …1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate … Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises …
Persistent link: https://www.econbiz.de/10012659711
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Fixed Income Investing : A Classic in a Time of Increased Uncertainty
Poufinas, Thomas - 2022
1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate … Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises … -- 11. Bonds and Debt -- 12. Bonds vs. Stocks -- 13. Hedging, Speculation and Arbitrage -- 14. Bonds and Regulation. …
Persistent link: https://www.econbiz.de/10013170811
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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
increases. These effects extend beyond long government bonds. Our results suggest that pension discount rules can have a …
Persistent link: https://www.econbiz.de/10011931879
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Disaggregation and the equity premium puzzle
Wilson, Matthew S. - In: Journal of empirical finance 58 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012430446
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Bond risk premia and Gaussian term structure models
Feunou, Bruno; Fontaine, Jean-Sébastien - 2014
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. These results stand as a...
Persistent link: https://www.econbiz.de/10010344936
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Power law bond price and yield approximation
Barber, Joel R. - In: The journal of risk finance : JRF 23 (2022) 1, pp. 14-31
Persistent link: https://www.econbiz.de/10012797857
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Expectation-driven term structure of equity and bond yields
Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...
Persistent link: https://www.econbiz.de/10013193433
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Correlation regimes in international equity and bond returns
Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
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Unsecured credit supply risk and bond prices
Mabille, Pierre - 2020
Persistent link: https://www.econbiz.de/10012322336
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Limited household risk sharing : general equilibrium implications for the term structure of interest rates
Mitra, Indrajit; Xu, Yu - 2020
long-term bonds while simultaneously matching key macroeconomic moments. Second, it predicts a negative correlation between …
Persistent link: https://www.econbiz.de/10012308514