Time Varying Expected Returns In International Bond Markets
DOWNLOAD
Download Time Varying Expected Returns In International Bond Markets PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Time Varying Expected Returns In International Bond Markets book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Time Varying Expected Returns In International Bond Markets
DOWNLOAD
Author : Antti Ilmanen
language : en
Publisher:
Release Date : 1994
Time Varying Expected Returns In International Bond Markets written by Antti Ilmanen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Bonds categories.
Three Essays On International Stock And Bond Markets
DOWNLOAD
Author : DongJoon Jeong
language : en
Publisher:
Release Date : 1993
Three Essays On International Stock And Bond Markets written by DongJoon Jeong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Global Risk Premia On International Investments
DOWNLOAD
Author :
language : de
Publisher: Springer-Verlag
Release Date : 2013-07-01
Global Risk Premia On International Investments written by and has been published by Springer-Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-01 with Business & Economics categories.
Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.
Habit Formation Surplus Consumption And Return Predictability
DOWNLOAD
Author : Tom Engsted
language : en
Publisher:
Release Date : 2011
Habit Formation Surplus Consumption And Return Predictability written by Tom Engsted and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
On an international post World War II dataset, we use an iterated GMM procedure to estimate and test the Campbell and Cochrane (1999) habit formation model with a time-varying risk-free rate. In addition, we analyze the predictive power of the surplus consumption ratio for future stock and bond returns. We find that, although there are important cross-country differences and economically significant pricing errors, for the majority of countries in our sample the model gets empirical support in a variety of different dimensions, including reasonable estimates of risk-free rates. Further, for the majority of countries the surplus consumption ratio captures time-variation in expected returns. Together with the price-dividend ratio, the surplus consumption ratio contains significant information about future stock returns, also during the 1990s. In addition, in most countries the surplus consumption ratio is also a powerful predictor of future bond returns. Thus, the surplus consumption ratio captures time-varying expected returns in both stock and bond markets.
International Bond Risk Premia
DOWNLOAD
Author : Magnus Dahlquist
language : en
Publisher:
Release Date : 2011
International Bond Risk Premia written by Magnus Dahlquist and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We identify local and global factors across international bond markets that are poorly spanned by the traditional level, slope and curvature factors but have strong forecasting power for future bond excess returns. Local and global factors are jointly significant predictors of bond returns, where the global factor is closely linked to US bond risk premia and international business cycles. Motivated by our results, we estimate a no-arbitrage affine term structure model for each country in which movements in risk premia are driven by one local and one global factor. Yield loadings for the two factors are estimated to be close to zero while shocks to risk premia account for a small fraction of yield variance. This suggests that the cross-section of yields conveys little information about the return-forecasting factors. We show that shocks to global risk premia cause off-setting movements in expected returns and expected future short-term interest rates, leaving current yields little affected. Furthermore, correlations between international bond risk premia have increased over time, indicating an increase in integration between markets. Affine model, local and global factors, time-varying risk premia
What Determines Expected International Asset Returns
DOWNLOAD
Author : Campbell R. Harvey
language : en
Publisher:
Release Date : 1994
What Determines Expected International Asset Returns written by Campbell R. Harvey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Assets (Accounting) categories.
This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their time-variation. We find evidence that the first factor premium resembles the expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our sample includes new data on both international industry portfolios and international fixed income portfolios. We find that the two latent factor model performs better in explaining the conditional variation in asset returns than a prespecified two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross-sectional variation in the international returns.
Expected Returns Risk And The Integration Of International Bond Markets
DOWNLOAD
Author : David Barr
language : en
Publisher:
Release Date : 1997
Expected Returns Risk And The Integration Of International Bond Markets written by David Barr and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Finance categories.
A Conditional Assessment Of The Relationships Between The Major World Bond Markets
DOWNLOAD
Author : Delroy M. Hunter
language : en
Publisher:
Release Date : 2004
A Conditional Assessment Of The Relationships Between The Major World Bond Markets written by Delroy M. Hunter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
This paper uses a bivariate GARCH framework to examine the lead-lag relations and the conditional correlations between 10-year US government bond returns and their counterparts from the UK, Germany, and Japan. We find that while mean and volatility spillovers exist between the major international bond markets, they are much weaker than those between equity markets. The results also indicate that the correlations between the US and other major bond market returns are time varying and are driven by changing macroeconomic and market conditions. However, in contrast to the finding that the benefits of international diversification in equity markets evaporate during high-stress periods, we find that the benefits of diversification across major government bond markets do not decrease during periods of extremely high bond market volatility or following extremely negative US and foreign bond returns.
Time Varying Risk Premia In Corporate Bond Markets
DOWNLOAD
Author : Redouane Elkamhi
language : en
Publisher:
Release Date : 2008
Time Varying Risk Premia In Corporate Bond Markets written by Redouane Elkamhi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
We study the link between corporate bond risk premia and equity returns in a large panel of corporate bond transaction data. In contrast to previous work, we find that a significant part of the time variation in bond risk premia can be explained by equity implied bond risk premium estimates. We also document a large time variation in the expected loss component of bond spreads. This component is related to total asset volatility, whereas the risk premium is related to systematic volatility. In addition, we show by means of linear regressions that augmenting the set of variables predicted by typical structural models with equity-implied bond default risk premia significantly increases explanatory power.
Liquidity And International Bond Pricing
DOWNLOAD
Author : Sakkapop Panyanukul
language : en
Publisher:
Release Date : 2010
Liquidity And International Bond Pricing written by Sakkapop Panyanukul and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.