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Does Central Bank Tone Move Asset Prices?

Schmeling, Maik - 2019

This paper shows that changes in the tone of central bank communication have a significant effect on asset prices. Tone captures how the central bank frames economic fundamentals and its monetary policy. When tone becomes more positive, stock prices increase, whereas credit spreads and...

Persistent link: https://www.econbiz.de/10012904171

An anatomy of the equity premium

Schneider, Paul - 2016

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Persistent link: https://www.econbiz.de/10011507822

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

Downside-Beta Comovement and Upside-Beta Comovement is the main driving force for market level skewness. An indicator called …

Persistent link: https://www.econbiz.de/10010442899

Low risk anomalies?

Schneider, Paul; Wagner, Christian; Zechner, Josef - 2019

compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual … coskewness, which allows us to construct coskewness factor mimicking portfolios. Controlling for skewness renders the alphas of … are largely driven by a single principal component, which is in turn largely explained by skewness …

Persistent link: https://www.econbiz.de/10012134221

Pemilihan Model Asset Pricing

Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2010

also the skewness and kurtosis. The main contribution of this paper is comparison between the CAPM, the Fama and French …

Persistent link: https://www.econbiz.de/10009651399

Asset Pricing with Systematic Skewness : Two Decades Later

Anghel, Dan; Caraiani, Petre; Rosu, Alina; Rosu, Ioanid - 2022

We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three … skewness (PSS) of Langlois (2020), where coskewness is predicted by various firm characteristics, or (ii) a modified PSS factor …

Persistent link: https://www.econbiz.de/10014088198

Equilibrium yield curves under regime switching

García-Verdú, Santiago - 2010

This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a representative agent with Epstein-Zin preferences. Regime switching affects the state-space capturing inêation and consumption growth. Thus, the agent is concerned about the...

Persistent link: https://www.econbiz.de/10010322544

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly 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...

Persistent link: https://www.econbiz.de/10011605091

The determinants of stock and bond return comovements

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...

Persistent link: https://www.econbiz.de/10011506640

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

Persistent link: https://www.econbiz.de/10003832616

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