Similar Search Results

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

The Valuation of Inherent Return (Bitcoin, Gold, Oil) Vs. Fiat Return Assets (Stocks, Bonds) – A Common Principle

Van Erlach, Julian - 2022

Economic assets can be classified into two broad categories: those earning an inherent return and those earning a fiat money return. This article shows that both are valued according to the same general principle based on GDP (a constant equal to expected long term real per capita GDP growth)...

Persistent link: https://www.econbiz.de/10013405892

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

Keep it Simple : Dynamic Bond Portfolios Under Parameter Uncertainty

Feldhütter, Peter - 2012

We empirically investigate the importance of parameter uncertainty to bond investors. Using a Bayesian approach, we …

Persistent link: https://www.econbiz.de/10013109502

On the Optimality of Non-Optimal Portfolios

Rutledge, John - 2009

Accepted wisdom, assuming capital market equilibrium and low cash returns, advises investors to hold optimal portfolios containing little cash. But credit crunches - periods of non-price credit rationing when effective cash yields are very high - happen in the real world. Because of this, it is...

Persistent link: https://www.econbiz.de/10013153212

Liquidity as an Investment Style

Ibbotson, Roger G. - 2013

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

Persistent link: https://www.econbiz.de/10013093548

Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10014023859

Do Hedge Funds Outperform Stocks and Bonds?

Bali, Turan G. - 2012

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

Persistent link: https://www.econbiz.de/10013106751

Do Hedge Funds Outperform Stocks and Bonds?

Bali, Turan G. - 2012

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

Persistent link: https://www.econbiz.de/10013106936

Fixed Income ETFs, Bond Liquidity, and Stressed Markets

Marta, Thomas - 2020

This paper examines the impact of Fixed Income Exchange-Traded Funds (ETFs) on corporate bond liquidity. I find that … between ETF ownership and bond liquidity. Moreover, ETFs do not appear to deteriorate the liquidity of their bonds during ETF …

Persistent link: https://www.econbiz.de/10012849908