This paper presents a parsimonious, implementable model for the estimation of the short-and long-term expected rates of return on the S&P 500 stock market Index. Sufficient statistics for the expected return on the S&P 500 Index consist of the risk-free rate of interest, the option market's...

The capital markets in general, and the equity markets in particular, exhibit a well-known phenomenon: During times of distress, intra-market correlations tighten, as traded assets exhibit a greater sensitivity to the "systematic factor." This paper extends that analysis to the corporate bond...

This paper presents a parsimonious, implementable model for the estimation of the short- and long-term expected rates of return on the Samp;P 500 stock market Index. The model estimates a parametric form for the Market Price of Risk, the Sharpe Ratio, of the Samp;P 500 Index. In addition to...

Whereas the callable-bond market used to emphasize primarily public debt - Government Agencies, and both investment grade and non-investment corporate debt - that has changed dramatically over the past twenty years, in part due to the low prevailing rates of interest as well as some systematic...