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Safe Asset Carry Trade

Ballensiefen, Benedikt - 2020

-section of long-term bond returns after accounting for standard bond pricing factors …

Persistent link: https://www.econbiz.de/10012848481

Safe asset carry trade

Ballensiefen, Benedikt; Ranaldo, Angelo - In: Review of asset pricing studies : RAPS 13 (2023) 2, pp. 223-265

Persistent link: https://www.econbiz.de/10014317763

Time-varying risk of nominal bonds : how important are macroeconomic shocks?

Ermolov, Andrey - In: Journal of financial economics 145 (2022) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10013473700

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches

Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

Persistent link: https://www.econbiz.de/10011556251