Narrow search
Showing 1 - 10 of 135,515
Cover Image
Inconsistent Bond Pricing in a Rational Mark
Chen, Hong-Yi - 2015
This study proposes two rational models to reconcile the enigma regarding the inconsistent bond pricing that results … different expected utilities for senior bonds and subordinated bonds with the same bond rating. Second, we implement the … notching policy to explain bond pricing, the inconsistent bond pricing can exist under rational market conditions …
Persistent link: https://www.econbiz.de/10013038271
Cover Image
Recovering Heterogeneous Beliefs and Preferences from Asset Prices
Ghosh, Anisha - 2020
We propose a novel information-theoretic approach to separately identify the risk preferences and beliefs of different types of financial market investors. Investors who allocate most of their wealth in large market capitalization stocks are risk averse and believe that the aggregate stock...
Persistent link: https://www.econbiz.de/10012828438
Cover Image
Swedish stock and bond returns, 1856 - 2012
Waldenström, Daniel - 2014
This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...
Persistent link: https://www.econbiz.de/10010360953
Cover Image
Swedish stock and bond returns, 1856 - 2012
Waldenström, Daniel - 2014
This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...
Persistent link: https://www.econbiz.de/10010391440
Cover Image
Bond Pricing Pedagogy and One-Step Bond Pricing
Arnold, Tom - 2012
Pricing bonds is generally one of the earliest applications of time value of money in a finance curriculum. A bond … security. This paper works through the pedagogy of bond pricing and extends the traditional bond pricing formula in a manner … about bond pricing and the time value of money …
Persistent link: https://www.econbiz.de/10013104140
Cover Image
A Global Factor in Variance Risk Premia and Local Bond Pricing
Kaminska, Iryna - 2015
. The impact of this time-varying risk aversion proxy on bond risk premia is then analysed within an arbitrage-free term … discount factor, we find that the risk aversion factor has significantly affected UK government bond yields. The changes in the …
Persistent link: https://www.econbiz.de/10013009853
Cover Image
Realized moments and bond pricing
Malinska, Barbora - 2019
This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized skewness to have significant negative effect on...
Persistent link: https://www.econbiz.de/10012010467
Cover Image
Measuring limits of Arbitrage in fixed-income markets
Fontaine, Jean-Sébastien; Nolin, Guillaume - 2017
deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo …
Persistent link: https://www.econbiz.de/10011777981
Cover Image
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
Cover Image
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