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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

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

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

Return Predictability in Federal Funds Futures : Is it There?

Steffensen, Sigurd - 2020

This paper studies return predictability in federal funds futures. I show that over the period 1990 to 2018, predictor variables from the literature do not consistently outperform the expectations hypothesis when evaluated out-of-sample. Further, while forecasts from advanced forecasting methods...

Persistent link: https://www.econbiz.de/10012835525

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

Expected Business Conditions and Bond Risk Premia

Eriksen, Jonas N. - 2018

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecasters. We show that expected business conditions consistently affect excess bond returns and that the inclusion of...

Persistent link: https://www.econbiz.de/10012937778

Stock-Bond Correlations, Macroeconomic Regimes and Monetary Policy

Baele, Lieven - 2017

This paper documents a strong association between stock-bond (SB) correlations and monetary policy regimes for a sample of 10 developed markets. Negative stock-bond correlations are associated with periods of accommodating monetary policy, but only in times of low inflation. Irrespective of the...

Persistent link: https://www.econbiz.de/10012942991

Present Bias, Asset Allocation and the Yield Curve

Goossens, Jorgo - 2020

-bias interval of at most 1 year, providing an estimate for the investor's duration of the present …

Persistent link: https://www.econbiz.de/10012822757

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