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Incorporating Model Uncertainty and Model Instability in Forecasting Bond Risk Premia and Term Structure of Government Bond Yield – A Bayesian Model Averaging Approach

Zhou, Hao (David) - 2012

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable selection approach which advocates finding an...

Persistent link: https://www.econbiz.de/10013113732

Expectations and term premia in EFSF bond yields

Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022

The European Financial Stability Facility (EFSF) was set up in June 2010 as a temporary crisis resolution mechanism. In October 2012, its tasks were taken over by European Stability Mechanism (ESM), a permanent institution with a capital-based structure. Liquidity conditions for EFSF bonds in...

Persistent link: https://www.econbiz.de/10013403171

The Dividend Premium in the CEE Stock Market

Konieczka, Przemyslaw - 2016

apply tests of monotonic relation. The principal findings are as follows. The high dividend stocks perform markedly better … supplemented with the evidence of monotonic relation: the higher dividend yields, the higher mean returns. However, the abnormal … returns related to dividend yields are characteristic largely only for big- and midcaps. We find very weak evidence for the …

Persistent link: https://www.econbiz.de/10013005682

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

Persistent link: https://www.econbiz.de/10011780610

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

Volatility Risk and Stock Return Predictability on Global Financial Crises

Kongsilp, Worawuth - 2016

This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...

Persistent link: https://www.econbiz.de/10012999962

Volatility Risk and Stock Return Predictability

Mateus, Cesario - 2014

This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010 we examine the relation between different...

Persistent link: https://www.econbiz.de/10013046782

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the quality of their return forecasts. In the low signal-to-noise environment of a one month horizon, we find that it is preferable to rely on a theory-based approach instead of engaging...

Persistent link: https://www.econbiz.de/10012163064

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 survey forecasts from the Survey of Professional Forecasters. We show that expected business conditions consistently affect excess bond returns and that the inclusion of...

Persistent link: https://www.econbiz.de/10012937778

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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