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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013141467
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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On the risk return relationship
Wang, Jian-xin; Yang, Minxian - In: Journal of empirical finance 21 (2013), pp. 132-141
Persistent link: https://www.econbiz.de/10009745277
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Cointegrating behaviour between spot and forward exchange rates
McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144
Persistent link: https://www.econbiz.de/10003213501
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Equity premia as low as three percent? : Evidence from analysts' earnings forecasts for domestic and international stock markets
Claus, James; Thomas, Jacob - In: The journal of finance : the journal of the American … 56 (2001) 5, pp. 1629-1666
Persistent link: https://www.econbiz.de/10001615421
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On the risk return relationship
Wang, Jian-xin; Yang, Minxian - 2012
Persistent link: https://www.econbiz.de/10009775894
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Triumph of the optimists : 101 years of global investment returns
Dimson, Elroy; Marsh, Paul; Staunton, Mike - 2002
.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark …
Persistent link: https://www.econbiz.de/10014488074
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Triumph of the optimists : 101 years of global investment returns
Dimson, Elroy; Marsh, Paul; Staunton, Mike - 2002 - 1. ed.
Persistent link: https://www.econbiz.de/10001635057