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Lapshin, Victor - 2022

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare …

Persistent link: https://www.econbiz.de/10013403799

Pricing and Constructing International Government Bond Portfolios

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

-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 and international bond portfolio strategies. The SDF is supported by standard … validation tests, but the fraction of unpriced components of bond returns is high, at around 50%. Hedging internationally …

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

Greek-based Bond Factors

Balduzzi, Pierluigi; Connolly, Michael; Marcus, Alan J. - 2022

We highlight how the bond "Greeks" drive the relevant factor loadings for the pricing ofTreasury securities. We show …

Persistent link: https://www.econbiz.de/10014361790

The 'Fed Model' and the Changing Correlation of Stock and Bond Returns : An Equilibrium Approach

Hasseltoft, Henrik - 2009

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …

Persistent link: https://www.econbiz.de/10014209829

Bonds vs. Equities : Information for Investment

Chang, Huifeng; d'Avernas, Adrien; Eisfeldt, Andrea L. - 2021

We provide robust empirical evidence that uncovers the reason for the observed closer relationship between the bond … market versus the equity market and the macroeconomy. Our results indicate that the tight bond market-macroeconomy link is …

Persistent link: https://www.econbiz.de/10013228522

A Practical Guide to Bonds and Swaps

Coleman, Thomas - 2010

This paper provides a practical introduction to the fixed income capital markets (bonds and swaps). It is intended to provide the practical, institutional aspects of the markets together with the fundamental concepts used in today's capital markets. In line with their ubiquity throughout the...

Persistent link: https://www.econbiz.de/10013147762

Measuring and modelling the market liquidity of stocks : methods and issues

Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - In: Journal of finance and investment analysis 1 (2012) 4, pp. 89-129

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction....

Persistent link: https://www.econbiz.de/10009746071

Measuring market liquidity : an introductory survey

Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - 2011 - This version: December 13, 2011

Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous...

Persistent link: https://www.econbiz.de/10011734536

Splitting orders in fragmented markets

Menkveld, Albert J. - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

Persistent link: https://www.econbiz.de/10011317469

OTC discount

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2021

We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This is a challenge for theories of OTC markets centered around...

Persistent link: https://www.econbiz.de/10012643895