This study investigates the relationship between equity duration, stock liquidity, and market conditions, revealing that short-duration portfolios consistently deliver higher average returns compared to their long-duration counterparts, regardless of firm size, book-to-market ratios, and...

We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...

I propose a deep learning term structure forecasting model by introducing a Nelson-Siegel layer that generates smooth yield curve forecasts while explaining the stylized facts of the term structure of interest rates. It is flexible enough to easily incorporate time-varying or time-invariant...

This paper introduces and examines an intriguing puzzle arising from the market’s persistent tendency to overestimate the trajectory of spot interest rates resulting in lucrative cumulative long-term returns for net zero investments. We introduce a new metric called the “Hairy” premium to...

Machine learning (ML) models for predicting stock returns are typically trained on one-month forward returns. While these models show impressive full-sample gross alphas, their performance net of transaction costs post 2004 is close to zero. By training on longer prediction horizons and using...

The aim of the study is to investigate the behaviour of the Chinese government bond yield curve before and during the COVID-19 pandemic. Its methodology comprises the techniques of time series analysis, correlation analysis and dimensionality reduction. The main empirical results show that in...

In the inverted yield curve environment, whether the sixteen SDGs set up by the United Nations could be realized by 2030 sparks interesting considerations. Meanwhile, as the Reserve Bank of New Zealand is considering the potential issuance of the CBDC, the boost to SDG 8 - decent work and...

I document a major shift in the comovement between the long-term interest rate and corporate bond credit spreads. Before the Great Financial Crisis, there was no apparent correlation between the 10-year Treasury yield and bond credit spreads. However, after the Financial Crisis, corporate bond...

The ABS Research team at Investment Bank X has asked the new summer intern to come up with an innovative way to forecast Conditional Prepayment Rates (CPR). The intern has some knowledge about interest rates models and decides to apply the same approach to model CPR with the goal of testing the...