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Implications Of The Composition Of Discount Rates Correlation Between Stock And Bond Markets And Return Risk Relationship
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Book Synopsis Implications of the Composition of Discount Rates; Correlation Between Stock and Bond Markets and Return/risk Relationship by : Charles Jenner
Download or read book Implications of the Composition of Discount Rates; Correlation Between Stock and Bond Markets and Return/risk Relationship written by Charles Jenner and published by . This book was released on 1967 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Correlation Between Rates of Return in the Stock and Bond Markets by : David R. Forster
Download or read book Correlation Between Rates of Return in the Stock and Bond Markets written by David R. Forster and published by . This book was released on 1973 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Market Uncertainty and the Relation Between Stock and Bond Returns by : Christopher T. Stivers
Download or read book Stock Market Uncertainty and the Relation Between Stock and Bond Returns written by Christopher T. Stivers and published by . This book was released on 2002 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Fundamental Relation Between Equity Returns and Interest Rates by : Jaewon Choi
Download or read book On the Fundamental Relation Between Equity Returns and Interest Rates written by Jaewon Choi and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses contingent claim asset pricing and exploits capital structure priority to better understand the relation between corporate security returns and interest rate changes (i.e., duration). We show theoretically and, using a novel dataset, confirm empirically that lower priority securities in the capital structure, such as subordinated or distressed debt and equity, have low or even negative durations because these securities are effectively short higher priority, high duration fixed rate debt. This finding has important implications for interpreting existing results on (i) the time-varying correlation between the aggregate stock market and government bonds, (ii) the use of bond factors for multifactor asset pricing models and forecasting bond and stock returns, (iii) the Fisher effect and inflation, and (iv) the betas of corporate bonds.
Book Synopsis Stock Returns and the Term Structure by : John Y. Campbell
Download or read book Stock Returns and the Term Structure written by John Y. Campbell and published by . This book was released on 1985 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely together with those on 20-year Treasury bonds, while risk premia on Treasury bills move somewhat independently. Average returns on 20-year bonds have been very low relative to average returns on stocks. I use these observations to test some simple asset pricing models. First I consider latent variable models in which betas are constant and risk premia vary with expected returns on a small number of unobservable hedge portfolios. The data strongly reject a single-latent-variable model. The last part of the paper examines the relationship between conditional means and variances of returns on bills, bonds and stocks. Bill returns tend to be high when their conditional variance is high, but there is a perverse negative relationship between stock returns and their conditional variance. A model is estimated which assumes that asset returns are determined by their time-varying betas with a fixed-weight "benchmark" portfolio of bills, bonds and stocks, whose return is proportional to its conditional variance. This portfolio is estimated to place almost all its weight on bills, indicating that uncertainty about nominal interest rates is important in pricing both short- and long-term assets
Book Synopsis Time Varying Correlations between Stock and Bond Returns - Evidence from Russia by : Kashif Saleem
Download or read book Time Varying Correlations between Stock and Bond Returns - Evidence from Russia written by Kashif Saleem and published by . This book was released on 2008 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to look at the relationship between stock market and bond market of Russia for the period of July 1994 to Dec. 2007. We attempt to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. We start our investigation by applying Bollerslev (1990) Constant conditional correlation model to test whether varying correlations are statistically significant then we use DCC-GARCH (1, 1) model proposed by Engle (2002) to analyze the dynamics of conditional correlations between the two assets. Finally, to investigate the asymmetries in conditional variances, covariances, and correlations, we adopt an asymmetric version of the Dynamic Conditional Correlation (ADCC) model proposed by Engle et al. (2006). Our empirical results do not support the assumption of constant conditional correlation and we found clear evidence of time varying correlations between Russian stocks and bond market. Our results offers a batter understanding for the dynamics of the correlations between stocks and bonds in an emerging market setting which is obviously very valuable for the portfolio managers, international investors, risk analysts and financial researchers as well as for the policy implications.
Book Synopsis The Term Structure of the Risk-return Tradeoff by : John Y. Campbell
Download or read book The Term Structure of the Risk-return Tradeoff written by John Y. Campbell and published by . This book was released on 2005 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research in empirical finance has documented that expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In this paper we propose an empirical model that is able to capture these complex dynamics, yet is simple to apply in practice, and we explore its implications for asset allocation. Changes in investment opportunities can alter the risk-return tradeoff of bonds, stocks, and cash across investment horizons, thus creating a term structure of the risk-return tradeoff.'' We show how to extract this term structure from our parsimonious model of return dynamics, and illustrate our approach using data from the U.S. stock and bond markets. We find that asset return predictability has important effects on the variance and correlation structure of returns on stocks, bonds and T-bills across investment horizons
Book Synopsis Stock Market Anomalies by : Elroy Dimson
Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Temporal Relationship Between Individual Stocks and Individual Bonds by : Simon H. Kwan
Download or read book The Temporal Relationship Between Individual Stocks and Individual Bonds written by Simon H. Kwan and published by . This book was released on 1995 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Aging and the Macroeconomy by : National Research Council
Download or read book Aging and the Macroeconomy written by National Research Council and published by National Academies Press. This book was released on 2013-01-10 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: The United States is in the midst of a major demographic shift. In the coming decades, people aged 65 and over will make up an increasingly large percentage of the population: The ratio of people aged 65+ to people aged 20-64 will rise by 80%. This shift is happening for two reasons: people are living longer, and many couples are choosing to have fewer children and to have those children somewhat later in life. The resulting demographic shift will present the nation with economic challenges, both to absorb the costs and to leverage the benefits of an aging population. Aging and the Macroeconomy: Long-Term Implications of an Older Population presents the fundamental factors driving the aging of the U.S. population, as well as its societal implications and likely long-term macroeconomic effects in a global context. The report finds that, while population aging does not pose an insurmountable challenge to the nation, it is imperative that sensible policies are implemented soon to allow companies and households to respond. It offers four practical approaches for preparing resources to support the future consumption of households and for adapting to the new economic landscape.
Book Synopsis Financial Markets and the Macroeconomy by : Carl Chiarella
Download or read book Financial Markets and the Macroeconomy written by Carl Chiarella and published by Routledge. This book was released on 2009-06-02 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Book Synopsis Interrelation and Spillover Effects Between Stocks and Bonds by : David G. McMillan
Download or read book Interrelation and Spillover Effects Between Stocks and Bonds written by David G. McMillan and published by . This book was released on 2019 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour. Volatility spillovers across countries exhibit a substantial amount of time-variation, however, there is no evidence of trending in any direction. Equally, cross asset-same country correlations exhibit both negative and positive values. Further, we report an inverse relation between same asset-cross country return correlations and cross asset-same country return correlations i.e., the stock return correlation across countries increases at the same time the stock and bond return correlation within each country declines. Moreover, results show that the stock and bond return correlations exhibit commonality across countries. Results also demonstrate that stock returns lead movement in bond returns, while US stock and bond returns have predictive power other country stock and bond returns. In terms of the markets analysed, Japan exhibit a distinct nature compared with those of Germany, the UK and the US. The results presented here provide a detailed characterisation of how asset interact both with each other and cross countries and should be of interest to portfolio managers, policy-makers and those interested in modelling cross market behaviour.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Stock and Bond Pricing with Liquidity Risk by : Ruslan Goyenko
Download or read book Stock and Bond Pricing with Liquidity Risk written by Ruslan Goyenko and published by . This book was released on 2007 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper tests the liquidity linkage between the stock and Treasury bond markets and its implications for asset pricing. We find that liquidity has a cross-market effect, which we attribute to trading activity across markets. We show that stock returns contain not only an illiquidity premium of the stock market as has been documented in the literature, but also an illiquidity premium of the bond market. A difference of 10 percentage points in the exposure to bond illiquidity risk between two stocks translates into a difference of 7 to 9 percent in their expected returns per year. Bond returns also contain an illiquidity premium of both the stock and bond markets. We document that the illiquidity of the stock market and/or unexpected shock to the bond market illiquidity dominate the momentum factor in the Carhart's (1997) four-factor model. We introduce a five-factor model. Finally, we test the cross-market liquidity effect within an arbitrage-free affine joint stock and bond pricing model with stock and bond market liquidity included in the vector of state variables, and find support for the model. Under the model's restrictions, a 10 percentage points change in the stock illiquidity leads to 1.4% change in the risk free rate per year. Overall, the paper contributes to the integration between stock and bond markets.
Book Synopsis Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence by : Jennie Bai
Download or read book Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence written by Jennie Bai and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the corporate bond market. We find a significantly positive intertemporal relation between expected return and risk in the bond market and the time-series predictability is driven by aggregate systematic risk instead of aggregate idiosyncratic risk. We also propose a new measure of systematic risk for corporate bonds and find a positive link between systematic risk and the cross-section of future bond returns. We provide an explanation for the significance of systematic (idiosyncratic) risk based on different investor preferences and informational frictions in the bond (equity) market.
Book Synopsis Asset Prices and Exchange Rates by : Anna Pavlova
Download or read book Asset Prices and Exchange Rates written by Anna Pavlova and published by . This book was released on 2003 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and bond prices are jointly determined. The model predicts that stock market prices are correlated internationally even though their dividend processes are independent, providing a theoretical argument in favor of financial contagion. The foreign exchange market serves as a propagation channel from one stock market to the other. The model identifies interconnections between stock, bond and foreign exchange markets and characterizes their joint dynamics as a three-factor model. Contemporaneous responses of each market to changes in the factors are shown to have unambiguous signs. These implications enjoy strong empirical support. Estimation of various versions of the model reveals that most of the signs predicted by the model indeed obtain in the data, and the point estimates are in line with the implications of our theory. Furthermore, the uncovered interest rate parity relationship has a risk premium in our model, shown to be volatile. We also derive agents? portfolio holdings and identify economic environments under which they exhibit a home bias, and demonstrate that an international CAPM obtaining in our model has two additional factors.
