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Fixed income strategies for trading and for asset management

Tinschert, Jonas; Cremers, Heinz - 2012

Trading and investment strategies play an essential part in better understanding fixed income markets. Over-the-counter markets and thousands of different outstanding bonds increase the difficulties to identify adequate comparison methods. Market participants and their practices differ widely...

Persistent link: https://www.econbiz.de/10009622377

The Valuation of Inherent Return (Bitcoin, Gold, Oil) Vs. Fiat Return Assets (Stocks, Bonds) – A Common Principle

Van Erlach, Julian - 2022

Economic assets can be classified into two broad categories: those earning an inherent return and those earning a fiat money return. This article shows that both are valued according to the same general principle based on GDP (a constant equal to expected long term real per capita GDP growth)...

Persistent link: https://www.econbiz.de/10013405892

Bond Fund Disappearance : What’s Return Got to Do with it?

Rohleder, Martin - 2012

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is … unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite … disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns …

Persistent link: https://www.econbiz.de/10013114608

Survey Forecasts and the Time-Varying Second Moments of Stock and Bond Returns

Balduzzi, Pierluigi - 2016

What are the economic determinants of the level and volatility of the second moments of stock and bond returns? We …-1997 change in the stock-bond covariance. Also, the second moments of risk premium news explain most of the variance of the …

Persistent link: https://www.econbiz.de/10013008226

Portfolio insurance and lead-lag relationships during the subprime crisis : an empirical investigation with respect to European asset-backed securities, credit default swaps, and e...

Ehlers, Stefan - 2014

Persistent link: https://www.econbiz.de/10010474563

Why Does the Correlation between Stock and Bond Returns Vary Over Time?

Andersson, Magnus - 2011

the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the … same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem … results suggest that periods of elevated stock market uncertainty lead to a decoupling between stock and bond prices. Finally …

Persistent link: https://www.econbiz.de/10013131459