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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications

Chen, Zhanhui - 2020

because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …

Persistent link: https://www.econbiz.de/10012851441

Decision-based forecast evaluation of UK interest rate predictability

Hall, Stephen G.; Sirichand, Kavita - 2010

This paper illustrates the importance of density forecasting in portfolio decision making involving bonds of different maturities. The forecast performance of an atheoretic and a theory informed model of bond returns is evaluated. The decision making environment is fully described for an...

Persistent link: https://www.econbiz.de/10003953018

From the 'Long Depression' to the 'Great Recession' : Bank Credit, Macroeconomic Risk, and Equity Returns

Gandhi, Priyank - 2016

In the U.S., over 1873-2014, an increase in bank credit is associated with a lower risk of a financial crisis in the near future. Bank credit expansion predicts lower excess returns and volatility for the aggregate stock market, and this predictive relation varies in the cross-section and is...

Persistent link: https://www.econbiz.de/10013002941

Inverted Yield Curves and Stock Market Performance : Recent Evidence

Yu, Geungu - 2017

This study investigated the linkage between the effects of an inverted yield curve and the performance of small, mid, and big cap stocks for the period 2005-2007. The comparative performance of small, mid and big cap stocks during the period was examined. In general, there seemed no significant...

Persistent link: https://www.econbiz.de/10012955363

The Impact of Yield Slope on Stock Performance

Yu, Geungu - 2017

This study investigated the linkage between the effects of yield slope and the performance of stocks for the period, 2006-2012. The paper found a significant link between the two variables. The sharp increase of yield slope positively affected stock market performance of small, mid and big cap...

Persistent link: https://www.econbiz.de/10012955365

Seasonal Variation in Treasury Returns

Kamstra, Mark J. - 2015

We document an annual cycle in the U.S. Treasury market, with variation in mean monthly returns of over 80 basis points from peak to trough. This seasonal Treasury return pattern does not arise due to macroeconomic seasonalities, seasonal variation in risk, cross-hedging between equity and...

Persistent link: https://www.econbiz.de/10013020774

A Stocks, Bonds, Consumers Leading Indicator

Breeden, Douglas T. - 2015

Real, total consumption growth deviations from normal stock market wealth effects lead economic growth in advanced economies in the Americas, in Europe and in AustralAsia, as shown by Breeden (2013). Consumers' expenditures reflect their information about employment opportunities and future real...

Persistent link: https://www.econbiz.de/10013032922

Procyclical Asset Management and Bond Risk Premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021

actively move into higher yielding, longer duration and lower rated securities as yields fall and spreads compress, and vice …

Persistent link: https://www.econbiz.de/10013240205

Procyclical Asset Management and Bond Risk Premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021

actively move into higher yielding, longer duration and lower rated securities as yields fall and spreads compress, and vice …

Persistent link: https://www.econbiz.de/10013243837

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2011

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/10013132852