Narrow search
Showing 1 - 10 of 24,316
Cover Image
Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
Cover Image
Portfolio Dynamics and Expected Returns Under Illiquidity
Buchner, Axel - 2015
Using a novel continuous-time framework, this paper explores the effects of illiquidity on portfolio dynamics and expected returns. In summary, the paper makes three key contributions to the existing literature on asset pricing and illiquidity. First, it illustrates that illiquidity leads to...
Persistent link: https://www.econbiz.de/10013030411
Cover Image
Measuring Risk in Fixed Income Portfolios Using Yield Curve Models
Caldeira, João - 2013
We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We use closed-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well established term structure factor models,...
Persistent link: https://www.econbiz.de/10013077636
Cover Image
Skewness and Co-Skewness in Bond Returns
Chiang, I-Hsuan Ethan - 2016
Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross-sectional variation driven by maturity and credit rating. Other things being equal, longer maturity bonds have lower skewness, and lower coskewness with respect to the bond market...
Persistent link: https://www.econbiz.de/10013004337
Cover Image
Cyclicality and term structure of value‐at‐risk within a threshold autoregression setup
Bec, Frédérique; Gollier, Christian - 2014
Persistent link: https://www.econbiz.de/10010415730
Cover Image
Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies
Tomat, Gian Maria - 2023
Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...
Persistent link: https://www.econbiz.de/10014337024
Cover Image
Present Bias, Asset Allocation and the Yield Curve
Goossens, Jorgo - 2020
This paper presents a present-biased general equilibrium model that explains many features of bond behavior. Present-biased investors increase (decrease) short-term (long-term) hedge demands compared to standard preferences. Hence, present bias drives up (down) short-term bond prices (yields)...
Persistent link: https://www.econbiz.de/10012822757
Cover Image
Yield Curve Momentum
Sihvonen, Markus - 2021
I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily due to autocorrelation in yield changes...
Persistent link: https://www.econbiz.de/10013313838
Cover Image
Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040
Cover Image
Long-Term Risk with Stochastic Interest Rates
Severino, Federico - 2019
Investors with heterogeneous trading horizons require compensation for the exposure to different risks. The no-arbitrage valuation over increasing horizons is described by the evolution of stochastic discount factors (SDFs). Each of them exhibits a multiplicative decomposition into deterministic...
Persistent link: https://www.econbiz.de/10012900105