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Ex-Post and Ex-Ante Returns and Risks Under Different Maturities of Treasury Bonds : Evidence from Developed and Emerging Markets

Hassanein, Medhat - 2011

Based on asset pricing theory, reward/risk ratios vary positively with maturity of Treasury securities. We study the …. This indicates that investors are negatively rewarded for the risk they face for investing in Treasury bonds in developed … and they increase while ex-ante risk decreases with maturity. As maturity increases, the coefficient of variation in …

Persistent link: https://www.econbiz.de/10013121622

General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets

Ulrich, Maxim - 2008

Persistent link: https://www.econbiz.de/10003751650

Can bonds hedge stock market risks? : green bonds vs conventional bonds

Dong, Xiyong; Xiong, Youlin; Nie, Siyue; Yoon, Seong-min - In: Finance research letters 52 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472201

Volatility of aggregate volatility and hedge fund returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - In: Journal of financial economics 125 (2017) 3, pp. 491-510

Persistent link: https://www.econbiz.de/10011751857

Relative Value Hedge Funds : A Behavioral Modeling of Hedge Fund Risk and Return Factors

Swartz, Lee Mick - 2018

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative … data such as average drawdown, run up, and liquidity from each hedge fund category to assess the risk. Third, additional …

Persistent link: https://www.econbiz.de/10012923264