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Persistent link: https://www.econbiz.de/10011781370

The role of portfolio constraints in the international propagation of shocks

Pavlova, Anna (contributor); Rigobón, Roberto (contributor) - 2007

Persistent link: https://www.econbiz.de/10003638312

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Pavlova, Anna; Rigobón, Roberto - 2008

Persistent link: https://www.econbiz.de/10003639754

The role of portfolio constraints in the international propagation of shocks

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Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010

"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...

Persistent link: https://www.econbiz.de/10003933912