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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010
"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...
Persistent link: https://www.econbiz.de/10003933912
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The cross-section and time-series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2012
Persistent link: https://www.econbiz.de/10009577595
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The Cross-Section and Time-Series of Stock and Bond Returns
Koijen, Ralph S. J. - 2014
Low realizations of the bond factors, typically at the onset of recessions, coincide with low value-minus-growth returns, low future dividend growth on value-minus-growth, and low future economic growth. This evidence supports the view that the business cycle is a priced state variable in stock...
Persistent link: https://www.econbiz.de/10013066875
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The Cross-Section and Time-Series of Stock and Bond Returns
Koijen, Ralph S. J. - 2010
Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...
Persistent link: https://www.econbiz.de/10013148389
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The Cross-Section and Time-Series of Stock and Bond Returns
Koijen, Ralph S.J. - 2010
Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...
Persistent link: https://www.econbiz.de/10012462964
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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69
Persistent link: https://www.econbiz.de/10011799154
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Wendepunkte in Finanzmärkten : Prognose und asset allocation
Huber, Claus - 2000
Persistent link: https://www.econbiz.de/10001461424
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Financial contagion and flight to quality between emerging markets and U.S. bond market
Soylu, Pınar Kaya; Güloğlu, Bülent - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-33
Persistent link: https://www.econbiz.de/10012201344
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Pricing Inflation Linked Bonds and Hedging Bond Portfolios : A Comparative Analysis Applied to French OAT Indexed Bonds
da Fonseca, José S. - 2016
comprising indexed and nominal bonds are tested. The hedging ratios used in these strategies are based on an arbitrage-free model … of the term structure and on a traditional duration measure. Hedging methods are compared according to three perspectives …: impact of the extraction method, hedging methodology, and holding period. It seems that the extraction procedure and hedging …
Persistent link: https://www.econbiz.de/10012990025