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Term Structures of Asset Prices and Returns
Backus, David - 2016
), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity …
Persistent link: https://www.econbiz.de/10012994905
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The Term Structure of Equity Risk Premia
Bansal, Ravi - 2019
We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia (growth rates) is positively (negatively) sloped in...
Persistent link: https://www.econbiz.de/10012889957
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Monetary Policy, Bond Risk Premia, and the Economy
Ireland, Peter N. - 2015
structural disturbances on output, inflation, and interest rates and to decompose movements in long-term rates into terms …
Persistent link: https://www.econbiz.de/10013015094
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Expected Returns, Yield Spreads, and Asset Pricing Tests
Campello, Murillo; Chen, Long; Zhang, Lu - 2021
We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much...
Persistent link: https://www.econbiz.de/10013311894
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Global Yield Curve Dynamics and Interactions : A Dynamic Nelson-Siegel Approach
Diebold, Francis X. - 2010
-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …
Persistent link: https://www.econbiz.de/10012759705
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Bond Risk Premia in Consumption-Based Models
Creal, Drew - 2016
inflation risk that co-moves with expected inflation itself …
Persistent link: https://www.econbiz.de/10012993847
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Risk Premia and Term Premia in General Equilibrium
Abel, Andrew B. - 2000
The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on reckless bills. This paper analyzes term premia and the risk...
Persistent link: https://www.econbiz.de/10012788989
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Equilibrium Yield Curves
Piazzesi, Monika - 2007
This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal … growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad … spreads are high in times when inflation news are harder to interpret. This is relevant for periods such as the early 1980s …
Persistent link: https://www.econbiz.de/10012778238
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Croce, Mariano (Max) Massimiliano - 2012
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish …
Persistent link: https://www.econbiz.de/10012755422
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Intermediary Asset Pricing
He, Zhiguo; Krishnamurthy, Arvind - 2021
We present a model to study the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face a constraint on raising equity capital. When the constraint binds, so that intermediaries' equity capital is scarce, risk premia...
Persistent link: https://www.econbiz.de/10013244400