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I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
This paper provides a comprehensive examination of whether portfolios formed on capital asset pricing model anomalies capture information related to changes in the investment opportunity set and therefore may be appropriate candidates as state variables within Merton's (1973) ICAPM framework....
Persistent link: https://www.econbiz.de/10012905817
This second of a series of seven papers co-authored by M. Nicolas J. Firzli and David Weeks looks at the notions of private markets – PE, VC, private debt and infrastructure – and the "quest for yields" in a low interest rates environment, which where discussed at two recent global...
Persistent link: https://www.econbiz.de/10013239026
We examine insider trades around the onset of the COVID-19 pandemic. Insiders purchased shares in record numbers after the stock market decline that began in late February 2020. We find that insider purchases were more pronounced for larger firms, value firms, firms with high levels of leverage...
Persistent link: https://www.econbiz.de/10012831557
Monetary policy, as captured by changes in the Fed funds rate (FFR), is a useful signal for investors. I analyze the economic significance of trading strategies based on the “out-of-sample” forecasting power of FFR for excess equity returns. A simple market timing strategy produces an annual...
Persistent link: https://www.econbiz.de/10013109362
Persistent link: https://www.econbiz.de/10003931161
, thereby causing rational bubbles to lose their efficiency properties. Moreover, if speculation can be carried out by skilled …We study the macroeconomic effects of rational asset bubbles in an overlapping-generations economy where asset trading … are large, the private gains associated with trading asset bubbles may lead too many workers to become speculators …
Persistent link: https://www.econbiz.de/10003926432
Persistent link: https://www.econbiz.de/10009381127
Persistent link: https://www.econbiz.de/10009696290
, thereby causing rational bubbles to lose their efficiency properties. Moreover, if speculation can be carried out by skilled …We study the macroeconomic effects of rational asset bubbles in an overlapping-generations economy where asset trading … are large, the private gains associated with trading asset bubbles may lead too many workers to become speculators …
Persistent link: https://www.econbiz.de/10013136911