Time Varying Risk Premia In International Stock And Bond Markets
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Time Varying Risk Premia In International Stock And Bond Markets
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Author : Peter Oertmann
language : en
Publisher:
Release Date : 1995
Time Varying Risk Premia In International Stock And Bond Markets written by Peter Oertmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Macroeconomic News Time Varying Risk Factors And Time Varying Risk Premia
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Author : Alexandre Vézina
language : en
Publisher:
Release Date : 2001
Macroeconomic News Time Varying Risk Factors And Time Varying Risk Premia written by Alexandre Vézina and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Bond market categories.
The basic purpose of this paper is to investigate the sources of time-varying risk premia for both the U.S. stock and bond markets. In addition, we look at the sources of time-varying conditional variance and conditional covariance of these two markets. Although a large literature has emerged on the return and volatility of any of the two markets, few studies propose a model in which both markets are modeled together. Moreover, after all the research done, the reasons explaining the causes of the volatility of any of the two markets remain unclear. What we propose in this paper is a model that considers both markets' volatility simultaneously. Our model captures the change in the risk premium, if any, to each market's own volatility risk as well as to the covariance risk for specific events. More specifically, we investigate if macroeconomic news is a source of time-varying volatility as well as time-varying covariance, and whether these results in time-varying risk premia in either of the markets. We find that stocks, as opposed to bonds, mainly exhibit a change in the risk premium on variance risk. The results suggest that most of the change is due to the PPI announcements. Our models also indicate that there is a change in the bond risk premium on covariance risk on macroeconomic news announcement dates. Finally, linear regressions show that employment reports and PPI releases are a source of time-varying conditional variance for stock, notes and bond returns.
Global Risk Premia On International Investments
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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.
Time Varying Risk Premia In Corporate Bond Markets
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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.
Three Essays On International Stock And Bond Markets
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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.
Time Varying Expected Returns In International Bond Markets
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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.
Currency Risk Premia In Global Stock Markets
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Author : Shaun K. Roache
language : en
Publisher: International Monetary Fund
Release Date : 2006-08
Currency Risk Premia In Global Stock Markets written by Shaun K. Roache and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08 with Business & Economics categories.
Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.
The Cross Section And Time Series Of Stock And Bond Returns
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Author : Ralph S. J. Koijen
language : en
Publisher:
Release Date : 2010
The Cross Section And Time Series Of Stock And Bond Returns written by Ralph S. J. Koijen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Bonds categories.
We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in expected stock and bond returns. Its pricing factors are motivated by a decomposition of the pricing kernel into a permanent and a transitory component. Shocks to the transitory component govern the level of the term structure of interest rates and price the cross-section of bond returns. Shocks to the permanent component govern the dividend yield and price the average equity returns. Third, shocks to the relative contribution of the transitory component to the conditional variance of the SDF govern the Cochrane-Piazzesi (2005, CP) factor, a strong predictor of future bond returns. These shocks price the cross-section of book-to-market sorted stock portfolios. Because the CP factor is a strong predictor of economic activity one- to two-years ahead, positive shocks to CP signal improving economic conditions, leading to a positive price of risk. Value stocks are riskier and carry a return premium because they are more exposed to such shocks.
Financial Markets And The Real Economy
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Author : John H. Cochrane
language : en
Publisher: Now Publishers Inc
Release Date : 2005
Financial Markets And The Real Economy written by John H. Cochrane and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Global Asset Allocation
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Author : Heinz Zimmermann
language : en
Publisher: John Wiley & Sons
Release Date : 2003-02-03
Global Asset Allocation written by Heinz Zimmermann and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-02-03 with Business & Economics categories.
Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.