Correlation matrix: excess returns and factors
Consumption, money, and excess returns
... risk factors (see Lewellen, Nagel and Shanken, ...Fama-French factors rather than the highly cross-correlated 25 portfolios, which really add no more credible information” (Cochrane, 2006, ...three ...
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Excess Income and Capital Market Returns
... common factors are driving their prices and ...covariance matrix of the Treasury and stockmarket excess returns ...dynamic factors appropriate for our model, it would appear that a ...
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Macro Factors in UK Excess Bond Returns: Principal Components and Factor Model Approach
... the excess returns and hence the estimations are reported for up to the eight common ...macro factors. We first look at the correlation coefficients between each variable and predicted macro ...
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Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach
... average excess bond returns. This implies that these factors contain predictive power for one-year ahead average excess bond ...macro factors ˆ F 1t , ˆ F 4t , ˆ F 5t , ˆ F 6t have ...
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EXPLOITING EXCESS RETURNS FROM SHARE BUYBACK ANNOUNCEMENTS
... Abnormal returns are a persistent post-announcement feature of stock buybacks Academic studies show that the stock market positively reacts to stock buyback ...predictable excess returns in the ...
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The advantages of using excess returns to model the term structure
... 4.3. Preliminary cross-section tests Our empirical tests start by examining the cross-sectional behaviour of yields, log prices and returns using a conventional three factor model. At this stage we only consider ...
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Currency excess returns and global downside market risk
... risk factors and currency excess returns can be overcome by considering a CAPM version that distinguishes between exposure to the market risk in times of negative/low market returns (downside ...
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Active bond-fund excess returns: Is it alpha... or beta?
... the excess returns of active bond funds of other factors such as duration and foreign-currency exposure, but we found that corporate-bond exposure clearly had the strongest ...increase returns ...
15
Excess Returns with Black Swan Investing on the Indian Stock Market
... unknown factors we cannot exclude other external parts as being the explanation or part in the explanation for the investment strategy to be ...greater excess returns in lowering the definition of a ...
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The predictability of excess returns on UK bonds: a non-linear approach
... of excess returns on stock and bond portfolios as well as the existence of common risk factors driving both bond and stock ...market factors driving excess returns. Stock and ...
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Excess Returns in the Hong Kong Commercial Real Estate Market
... By contrast, the Rating and Valuation Department (RVD) of the Hong Kong Government publishes capital and rental price indexes for subsectors of the real estate market based upon transactions evidence. The price indexes ...
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Co-Movement, Spillovers and Excess Returns in Global Bond Markets
... Yield Factors G.1 Current and Long-Run Shocks of Yield Factors As we mentioned in the previous sections, there are no significant conclusions on the underlying macro ...yield factors to explore the ...
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Modelling and explaining carry trade excess returns in the foreign exchange market
... trade returns by LSTR1-model that has two independent variables: equity and bond ...volatility factors have high correlation with each other that is not surprising as typically liquidity is lower and ...
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Identification and inference in linear stochastic discount factor models with excess returns
... conjectured factors, where x t is completely “useless” and mean ...conjectured factors, where f 1t is an incomplete subset of f t ...weighting matrix also ...true factors, Kan and Zhang ...
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Macroeconomic risk and excess returns of property stocks: Some international evidence
... of excess returns on Asian property stocks is relatively ...time-varying excess return on property ...of excess returns on property stocks in established markets such as Hong Kong, ...
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Bond Supply and Excess Bond Returns
... Our findings are related to a number of recent papers documenting downward-sloping demand curves in bond and options markets. In a similar spirit to our paper, Krishnamurthy and Vissing-Jorgensen (2007) document a strong ...
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Bond Supply and Excess Bond Returns
... the correlation between dollar-weighted average maturity and debt to GDP is 60% in the 1952-2007 ...positive correlation reflects the fact that as the US govern- ment increased the size of its debt, it ...
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Bond supply and excess bond returns
... Our findings are related to a number of recent papers documenting downward-sloping demand curves in bond and options markets. In a similar spirit to our paper, Krishnamurthy and Vissing-Jorgensen (2007) document a strong ...
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Excess returns in the Hong Kong commercial property market
... The average price indexes are based on the transaction prices of heterogeneous products and are not adjusted for price influencing attributes of the transacted properties. The reliability of the index may therefore be ...
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Asymmetry in the dynamic conditional correlation of gold returns and stock returns
... on correlation asymmetry As was shown previously, the asymmetry in the dynamic conditional correlations of the AG- DCC model is incorporated in the covariance matrix of the standardized residuals, 𝑄 𝑡 , ...
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