This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from (Piazzesi, 2005) in an international setting. The shocks are extracted from a two-country term structure...

The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical stock data of selected companies. Security Market Line...

We provide an extensive set of alternative models for the estimation of the real cost of equity in a sample of utilities firms in Brazil with monthly data from March 2006 to June 2011. The traditional CAPM is rejected, together with the Fama-French factors, due to a poor fit. Additional factors...

This paper investigates the possible existence of Granger-causal relationships in the behavior of sovereign bond markets within the European Monetary Union (EMU), with special focus on higher order causality accounting for nonlinear dependence between the variables. With the above in mind both...

Yield curve models within the popular Nelson and Siegel (hereafter NS) class are shown to arise from a formal low-order Taylor approximation to the generic Gaussian affine term structure model. That theoretical foundation provides an assurance that NS models correspond to a well-accepted...

With nominal interest rates near the zero lower bound (ZLB) in many major economies, it has become untenable to apply Gaussian affine term structure models (GATSMs) while ignoring their inherent theoretical deficiency of non-zero probabilities of negative interest rates. In this article I...

I propose a simple framework that quantifies the stance of monetary policy as a “shadow short rate” when the term structure is near the zero lower bound. I demonstrate my framework with a one-factor model applied to Japanese data, including an intuitive economic interpretation of the...

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...

Mismeasurement of intangible assets in a company may result in high costs and loss of its competitiveness and position in the market. Conventional evaluation methods are not able to identify reliably intangible intensive business value because of such assets specificity. Therefore, the business...

We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We find that the finite sample order of integration of returns is approximately equal to the order of integration of the first-differenced price-dividend ratio. As such, the traditional...