Bond returns
A note on approximating bond returns allowing for both yield change and time passage
... a bond in a Taylor series around š¦ 0 ...a bond and its yield is much less non-linear (or much more linear whichever way is preferred), which means that the Barber model is able to give close approximations ...
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Macro Factors in UK Excess Bond Returns: Principal Components and Factor Model Approach
... excess returns on 2-, 3-, 4-, and 5-year nominal UK government liability bonds can be, indeed, predicted via macroeconomic aggregates with an R 2 statistics varying from 34 percent to 44 ...excess returns ...
44
Time Varying Correlations between Stock and Bond returns: Empirical evidence from Russia
... and bond returns on their lag returns, and variance equation parameters ļ” and ļ¢ support this modeling technique, ...and bond markets are exposed to common macroeconomic ...
14
Local currency bond returns in emerging market economies and the role of foreign investors
... excess returns on risky assets are due to exposure to market risk and potential losses originating from assets managed by active ...currency bond returns, adjusted for market risk, contain risk ...
9
Linearity and stationarity of G7 government bond returns
... government bond return indices of G7 economies, namely, Canada (CN), France (FR), Germany (BD), Italy (IT), Japan (JP), the United Kingdom (UK), and the United States ...daily bond returns of various ...
13
Common Factors in International Bond Returns and a Joint ATSM to Match Them
... The existence of common factors in international bond markets is an important cause for model- ling different term structures of interest rates jointly. This paper investigates the common factors of US and UK ...
9
The CDS bond basis arbitrage and the cross section of corporate bond returns
... on bond pricing factors for high yield bonds only, based on asset pricing tests using the basis factor as a new risk factor along with existing factors and other basis arbitrage-related ...(value-weighted) ...
44
Asymmetric Responses of Nominal Rates, TIPS Rates, Break-Even Inflation Rates, and the Stock-Bond Correlation to Macroeconomic Announcements
... and bond returns must be characterized by a dominance of a growth or equity risk premium ...and bond pricing equations show that positive co-movements should result if Y gains relative importance ...
191
Excess co movement in asset prices: The case of South Africa
... the bond and equity returns are significant (See Tables ...influence returns on assets by affecting expected future ...and bond returns themselves, which is negative and statistically ...
16
Oil and portfolio risk diversification
... The estimates of system (B) are set out in Table 5. The second period variance covariance matrix points to a very intricate interrelation pattern. The conditional correlation coefficients are all significant and ...
28
Modeling tick-by-tick realized correlations
... We test the accuracy of the tree-HAR model on the series of daily tick-by-tick realized correlations between S&P 500 and 30-year Treasury Bond futures for the time period 1990ā2008. We collect empirical ...
17
What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
... market returns, we repeat the VAR-based decompositions presented by Nitschka (2014) for our shorter sample period from January 1999 to December ...and bond market news ...The bond market excess ...
17
CDS bond basis and bond return predictability
... is bond returns for day t to day t+k (k=20, 40, ...follows. Bond Return is the individual bondās lagged k-day excess return from day t-k to day ...stock returns measured in a 60-day ...
70
The impact of exchange rate volatility on capital flows in BRICS economies
... the returns on equity and bond yields markets in the BRICS (Brazil, Russia, India, China and South Africa) ...and bond markets in the ...and bond returns is determined in the context of ...
29
Performance of corporate bond indices: an approach inspired by Mertonās model
... The proposed model is set up by making use of equity options which together will have the same payoff of that of high yield corporate bond returns. A sold put option with a strike of 70% will make sure that ...
64
Nonparametric long term prediction of stock returns with generated bond yields
... equity returns or premiums found that dynamic interactions among the stock and bond are relevant for long term pension ...current bond yield in a model for the prediction of excess stock ...current ...
38
What news drive variation in Swiss and US bond and stock excess returns?
... the dividend-price ratio has to reflect future dividend growth or expected returns or both (Cochrane, 2008). Based on US evidence it is conventional wisdom that the variation in dividend-price ratio can be almost ...
30
Leverage, Default Risk, and the Cross Section of Equity and Firm Returns
... KMV. Returns for the corporate bond indices are from Ibbotson and Lehman Brothers/Barclays ...Equity returns, prices, and shares outstanding are from the CRSP ...
31
Short selling and price discovery in corporate bonds
... the returns of the shorting portfolios for the periods preceding (from January 1, 2006 until May 31, 2008) and following the Lehman bankruptcy (from January 1, 2009 to December 30, ...(annualized returns of ...
80
Essays On Economic Uncertainty And Macro-Finance
... I solve the model by third-order perturbation to account for the effects of time-varying volatility. A pruning method is applied to ensure the stablity of sample paths (Andreasen et al., 2013). Table 1.17 shows the ...
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