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Implied interest rate skew, term premiums, and the ʺconundrumʺ

Durham, J. Benson - 2007

Persistent link: https://www.econbiz.de/10003828299

Implied interest rate skew, term premiums, and the "conundrum"

Durham, J. Benson - In: The journal of fixed income 17 (2007) 4, pp. 88-99

Persistent link: https://www.econbiz.de/10003729823

What do TIPS say about real interest rates and required returns?

Durham, J. Benson - In: Financial analysts journal : FAJ 79 (2023) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10014291960

Betting against beta with bonds : worry or love the steepener?

Durham, J. Benson - In: Financial analysts' journal : FAJ 72 (2016) 6, pp. 57-85

Persistent link: https://www.econbiz.de/10011574800

The effect of monetary policy on monthly and quarterly stock market returns : cross-country evidence and sensitivity analyses

Durham, J. Benson - 2001

Persistent link: https://www.econbiz.de/10001630694

Does monetary policy affect stock prices and treasury yields? : An error correction and simultaneous equation approach

Durham, J. Benson - 2003

Persistent link: https://www.econbiz.de/10001759542

The extreme bounds of the cross-section of expected stock returns

Durham, J. Benson - 2002

Persistent link: https://www.econbiz.de/10001706680

Can long-only investors use momentum to beat the US Treasury market?

Durham, J. Benson - In: Financial analysts' journal : FAJ 71 (2015) 5, pp. 57-74

Persistent link: https://www.econbiz.de/10011380328

Which component of treasury yields belongs in equity valuation models? : an application to the S&P 500

Durham, J. Benson - In: The journal of portfolio management : a publication of … 39 (2013) 4, pp. 80-90

Persistent link: https://www.econbiz.de/10009786014

Momentum and the term structure of interest rates

Durham, J. Benson - 2013

A vast literature reports excess returns to momentum strategies across many financial asset classes. However, no study examines trading rules based on price history along individual government-bond term structures - that is, with respect to duration buckets across the curve - as opposed to...

Persistent link: https://www.econbiz.de/10010222891