Showing 1 - 10 of 210
Persistent link: https://www.econbiz.de/10011928971
We use high-frequency data to precisely estimate bond price reactions to macroeconomic announcements and the associated compensation for macro risks. We find evidence of a single factor summarizing the reaction of bond prices to different announcements. Prior to the financial crisis, the factor...
Persistent link: https://www.econbiz.de/10012976116
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area and provides evidence of the potential usefulness of this indicator for monetary policy purposes. In particular, the historical predictive power of ten variations of yield...
Persistent link: https://www.econbiz.de/10015180996
Persistent link: https://www.econbiz.de/10003948301
This paper considers two alternative formulations of the linear factor model (LFM) with nontraded factors. The first formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross-sectional regression of average returns on betas. The second...
Persistent link: https://www.econbiz.de/10010397678
The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate pricing kernel of a given model and the...
Persistent link: https://www.econbiz.de/10010397680
This paper proposes a new holding horizon (HH) measure of active management and examines the relation between horizon and manager skill. Our HH measure identifies, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a...
Persistent link: https://www.econbiz.de/10012312946
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particu-lar, the historical predictive power of ten yield spreads, for di®erent segments of the yield curve, is tested using a probit model. The yield spread between...
Persistent link: https://www.econbiz.de/10011604340
Against the background of the rapid inter- and intraregional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate various specifications of a dynamic common factor model for output growth of ten East Asian countries. A...
Persistent link: https://www.econbiz.de/10011604717
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the...
Persistent link: https://www.econbiz.de/10009636517