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Time-varying pricing of risk in sovereign bond futures returns
Malinska, Barbora - 2020
12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …We examine time-varying explanatory power of realized moments on subsequent bond futures excess returns using more than … traditional bond return predictors such as term or default spreads. Most importantly, we reveal the bond excess return …
Persistent link: https://www.econbiz.de/10012181035
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Time-varying pricing of risk in sovereign bond futures returns
Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10013455827
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Quantile risk-return trade-off
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14
We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...
Persistent link: https://www.econbiz.de/10012587977
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Asset Pricing with Heterogeneous Agents and Long-Run Risk
Pohl, Walt - 2020
volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …
Persistent link: https://www.econbiz.de/10012853501
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Time-varying risk and the relation between idiosyncratic risk and stock return
Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16
This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...
Persistent link: https://www.econbiz.de/10012628441
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Effect of Price Inefficiency on Idiosyncratic Risk and Stock Returns
Qin, Nan - 2013
This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …
Persistent link: https://www.econbiz.de/10013076721
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Changes in the span of systematic risk exposures
Liao, Yuan; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 817-847
We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The...
Persistent link: https://www.econbiz.de/10015053883
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Business-cycle consumption risk and asset prices
Bandi, Federico M. - 2020
We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...
Persistent link: https://www.econbiz.de/10012856904
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Predicting Bond Betas Using Macro-Finance Variables
Aslanidis, Nektarios - 2018
We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long … bond betas …
Persistent link: https://www.econbiz.de/10012934945
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Global Bad and Good Uncertainties and Their Impact on Macro Aggregates and Stock Returns
Semenischev, Michael - 2016
global CAPM and two-factor model of Fama and French (1998) always improve if the pricing factors are scaled with global …
Persistent link: https://www.econbiz.de/10013000053