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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 …
Persistent link: https://www.econbiz.de/10012937778
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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation...
Persistent link: https://www.econbiz.de/10010441139
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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
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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
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From carry trades to curvy trades
Dreher, Ferdinand; Gräb, Johannes; Kostka, Thomas - 2018
Traditional carry trade strategies are based on differences in short-term interest rates, neglecting any other information embedded in yield curves. We derive return distributions of carry trade portfolios among G10 currencies, where the signals to buy and sell currencies are based on summary...
Persistent link: https://www.econbiz.de/10011856388
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Commodity futures return predictability and intertemporal asset pricing
Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020
We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential … predictability is countercyclical, and the combination forecasts of commodity returns have significantly positive predictive power …
Persistent link: https://www.econbiz.de/10012418356
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Interest Rate Sensitivities of Bond Risk Measures
Crack, Timothy Falcon; Nawalkha, Sanjay K. - 2021
We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to changes in term structure shape parameters. Our analysis enables fixed income portfolio managers to capture the combined effects of term structure level, slope, and curvature shifts...
Persistent link: https://www.econbiz.de/10013211994
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Expected Returns and the Predictability of Equity Lending Fees
Andrews, Spencer - 2022
returns can improve the out-of-sample predictability of loan fees for stocks expected to perform poorly. Loan fee … predictability has implications for future loan demand, suggesting that short sellers are drawn to short stocks with historically … primary channel through which expected returns improve fee predictability …
Persistent link: https://www.econbiz.de/10013491786
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Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns
Bakshi, Gurdip - 2017
We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide...
Persistent link: https://www.econbiz.de/10012971927