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Schornick, Astrid V. - 2015

We develop a two-country asset pricing model to explain countries' heterogeneous exposure to global risks and how these affect currency risk premia. In the model we consider separately the valuation of countries' consumption baskets from their sharing of risk. A currency's risk depends not only...

Persistent link: https://www.econbiz.de/10013014540

Disaster Risks in Bond Returns

Lin, Hai - 2019

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury bonds. We find that the predictive power of this factor is both statistically significant and economically important and is not spanned by the current yield curve. The disaster...

Persistent link: https://www.econbiz.de/10012860176

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Optimal Portfolio Choice in Corporate Bond Markets

Pieterse-Bloem, Mary - 2018

In this paper, we propose a dynamic portfolio strategy for European corporate bonds based on a two-factor pricing model. We introduce a strategy in which we forecast both future factors as well as bonds' future exposure to these factors. Using a unique dataset that is representative of the...

Persistent link: https://www.econbiz.de/10012933127

Analysis of Bond Portfolios in an ALM Context

Verbiest, Eddy H. - 2021

A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and extracts continuously a fixed percentage of remaining liabilities to stakeholders while maintaining a strategic asset allocation. This fixed percentage is proposed as return...

Persistent link: https://www.econbiz.de/10013224637

Allocating to Green Bonds

Swinkels, Laurens - 2021

Green bonds are about a decade old financial instrument with cash flows earmarked to improve the environment or combat climate change. We show the spectacular growth of the asset class over time, but note that it is currently still less than 1% of the entire fixed income market. The composition...

Persistent link: https://www.econbiz.de/10013235725

Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent Strategies

Yang, Zhaojun; Shi, Feng - 2012

This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no...

Persistent link: https://www.econbiz.de/10014220854

Pricing and Constructing International Government Bond Portfolios

Randl, Otto; Simion, Giorgia; Zechner, Josef - 2022

This paper documents that even naïve cross-market diversification strategies lead to substantial improvements of risk-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices excess returns of individual bond markets...

Persistent link: https://www.econbiz.de/10013307151

Skewness and Co-Skewness in Bond Returns

Chiang, I-Hsuan Ethan - 2016

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross-sectional variation driven by maturity and credit rating. Other things being equal, longer maturity bonds have lower skewness, and lower coskewness with respect to the bond market...

Persistent link: https://www.econbiz.de/10013004337

Optimal investment and equilibrium pricing under ambiguity

Anthropelos, Michail; Schneider, Paul - 2021

have identical, or sufficiently similar prior beliefs, the first best equilibrium is no trade. Simple sufficient conditions … yield the existence of a Pareto-efficient second-best equilibrium which reconciles many observed phenomena in financial … markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia …

Persistent link: https://www.econbiz.de/10012800006