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Frazzini, Andrea - 2012

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...

Persistent link: https://www.econbiz.de/10012460102

Effects of Index-Fund Investing on Commodity Futures Prices

Hamilton, James D. - 2014

The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....

Persistent link: https://www.econbiz.de/10012458772

To Borrow or Not to Borrow? An Analysis of University Leverage Decisions

Rosen, Harvey S. - 2016

This paper investigates the decisions of universities to issue debt. We test whether the expected value and uncertainty of a university's nonfinancial income (the income generated by sources other than its endowment) affect its leverage (the ratio of the value of an institution's liabilities to...

Persistent link: https://www.econbiz.de/10012456722

Modeling Bond Yields in Finance and Macroeconomics

Diebold, Francis X. - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10012467596

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

Collin-Dufresne, Pierre - 2004

-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …

Persistent link: https://www.econbiz.de/10012467934

Bond Risk Premia in Consumption-based Models

Creal, Drew D. - 2016

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

Persistent link: https://www.econbiz.de/10012456492

Monetary Policy, Bond Risk Premia, and the Economy

Ireland, Peter N. - 2015

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

Persistent link: https://www.econbiz.de/10012457093

Facts and Fantasies about Commodity Futures Ten Years Later

Bhardwaj, Geetesh - 2015

Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively...

Persistent link: https://www.econbiz.de/10012457424

Jumps in Bond Yields at Known Times

Kim, Don H. - 2014

on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that … much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases …

Persistent link: https://www.econbiz.de/10012457955

Riding the Bubble? Chasing Returns into Illiquid Assets

Yagan, Danny - 2014

Household investors chase stock market returns. Surveys suggest that households intend to "ride the bubble" by buying stocks early in a boom and selling stocks early in a bust. This implies that households use only liquid assets to chase returns. I test this prediction using inflows to fixed...

Persistent link: https://www.econbiz.de/10012458307