Equity and Bond Returns
The relationship between equity and bond returns: An empirical investigation
... In other words, a small change in a large DD should have only a limited impact on the correlation between equity and bond returns, while the magnitude of impact should grow as DD falls. Our model ...
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Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors?
... excess returns across the anomalies, we conclude that the CAPM and the five-factor model do not explain the variation in average excess returns on these ...of equity market predictors for bond ...
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Descriptive analysis of Finnish equity, bond and money market returns
... These returns provide us with an approximation of realized returns in absence of a better ...of bond returns during the early periods that we ...our bond return series are calculated ...
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The Abnormal Performance of Bond Returns
... futures returns is related to their ability to proxy for economic ...the equity market and with extant economic ...expected returns on these futures increase to reflect the riskiness of the business ...
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Swedish Stock and Bond Returns,
... 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 discount ...and returns indices from 1870 are also ...
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Equity Returns at the Turn of the Month
... and bond returns Equity returns are often thought of as being determined by a risk-free rate plus a spread to compensate for ...of returns indicates that the turn-of-the- month effect ...
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Monetary Policy and Corporate Bond Returns
... corporate bond indices constructed by Barclays are used to calculate corporate bond re- ...corporate bond market and represent standard benchmarks for managing bond portfolios in the asset ...
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Liquidity Risk of Corporate Bond Returns
... The results in Table 10 are consistent with the earlier set of results on conditional liq- uidity risk and survive the introduction of equity returns as an explanatory variable, but a few observations are ...
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Stock and Bond Returns with Moody Investors
... the equity premium; the regime —switching risk aversion model of Gordon and St-Amour (2000, 2004) and the preference shock model of Lettau and Wachter (2005) (who focus on explaining the value ...
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The CDS bond basis arbitrage and the cross section of corporate bond returns
... on bond pricing factors, 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) returns on the LMH ...
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The Weekend Effect in Equity Option Returns
... Although the modern weekend effect literature began with the article of French (1980), evidence on the effect was reported 50 years earlier by Fields (1931). Similar effects have been observed in international equity ...
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Empirical Investigations of Equity Market Anomalies in Corporate Bond and Firm Returns
... It is important to look at the stock return results for a number of reasons (Table 2.9). If I observe the duration impact is in stocks, then it is likely spurious or due to some other correlated missing variable. In ...
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Distribution Risk and Equity Returns
... With bond trading being their only mechanism for consump- tion smoothing, non-stockholders bid up bond prices, resulting in a low risk free ...result, bond market events act to create a high level of ...
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Equity & Bond Valuations & Inflation
... potential equity returns result from the dividend yield paid from free cash flows, retained free cash, and sales ...of Equity Returns While the starting equity free cash flow yield is ...
Flight to Liquidity and Global Equity Returns
... Treasury bond market ...Treasury bond illiquidity time series to be able to study the connection between economic environment, liquidity conditions, and equity prices across different countries; to ...
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Flight-to-Liquidity and Global Equity Returns
... Global Equity Returns ABSTRACT Investment practice and academic literature document a great degree of interaction between stock markets around the world and most liquid and safest assets such as the US ...
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Bond Supply and Excess Bond Returns
... 20-year bond minus the log yield of the one-year bond, and the independent variables is the fraction of principal and coupon payments due in ten years or ...36-month returns; (h) ignoring coupons in ...
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Bond Supply and Excess Bond Returns
... Determining empirically how the supply and maturity structure of government debt affect inter- est rates is important for informing the theory of the term structure, especially given the conflicting predictions. An ...
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Bond supply and excess bond returns
... 20-year bond minus the log yield of the one-year bond, and the independent variables is the fraction of principal and coupon payments due in ten years or ...36-month returns; (h) ignoring coupons in ...
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Equity Returns and Refinancing
... Unauthorized duplication is prohibited without the express written consent from HVS International. Copyright © HVS International 2005 A s many hotel markets recover and low interest rates continue, hotel investments are ...
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