Similar Search Results

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

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...

Persistent link: https://www.econbiz.de/10012547050

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021

Persistent link: https://www.econbiz.de/10012584702

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...

Persistent link: https://www.econbiz.de/10012181201

Why are REITS Currently so Expensive?

Van Nieuwerburgh, Stijn - 2017

For the last several years, the price of listed real estate stocks has been unusually high relative to dividends. We explore whether low interest rates or low risk premia can account for the high valuation ratios and find that they cannot. Lower interest rates have been offset by rising risk...

Persistent link: https://www.econbiz.de/10012957559

The Equity Premium Puzzle Solution : Incentives to Under-Report Inflation

Korsos, Laszlo - 2020

The biggest and most well-known unsolved problem in academic finance is famously referred to as the Equity Premium Puzzle. It refers to the unexplained phenomenon that for over 100 years the average return on a well-diversified portfolio of equities has far outperformed that of risk-free,...

Persistent link: https://www.econbiz.de/10012838903

An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond

Bakshi, Gurdip - 2018

This paper proposes an approach to study the expected excess return of a long-term bond and focuses on a lower bound. This lower bound is a crucial number, as it represents the minimum expected excess return demanded by investors. The derived bound is model-independent and can be extracted from...

Persistent link: https://www.econbiz.de/10012937301

Real and Nominal Equilibrium Yield Curves with Endogenous Inflation : A Quantitative Assessment

Hsu, Alex - 2015

The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and quantitatively in a model with nominal rigidities and monetary policy. The interest-rate policy rule becomes a restriction linking real and nominal risk premia through endogenous...

Persistent link: https://www.econbiz.de/10013032008

Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect

Burgess, Nicholas - 2021

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

Persistent link: https://www.econbiz.de/10013213650

Equilibrium Yield Curves with Imperfect Information

Tanaka, Hiroatsu - 2022

I study the dynamics of default-free bond yields and term premia using a novel equilibrium term structure model with a New-Keynesian core and imperfect information about productivity. The model generates term premia that are on average positive with sizable countercyclical variation that arises...

Persistent link: https://www.econbiz.de/10014239105

1
2
3
4
5
6
7
8
9
10
Next
Last