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This paper investigates the interaction between housing prices and housing rentals. Standard economic models treat housing prices as the present discounted value of future rentals with the latter treated as exogenous. Casual observation, however, suggests that changes in rental prices often...
Persistent link: https://www.econbiz.de/10010633215
This paper tests the asymptotic arbitrage pricing theory (APT) with the factors extracted from individual stocks. It is shown that the asymptotic APT fails if and only if the number of unbounded eigenvalues of the second-moment matrix of excess returns exceeds that of the variance matrix of...
Persistent link: https://www.econbiz.de/10012734062
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Because of the lack of short‐term government bonds, the interbank repo market in China has been providing the best information about market‐driven short‐term interest rates since its inception. This article examines the behavior of the repo rates of various terms and their term premiums....
Persistent link: https://www.econbiz.de/10011196805
Affine jump-diffusion models have been the mainstream in options pricing because of their analytical tractability. Popular affine jump-diffusion models, however, are still unsatisfactory in describing the options data and the problem is often attributed to the diffusion term of the unobserved...
Persistent link: https://www.econbiz.de/10011039265
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It is well documented that the time-varying bond excess returns can be explained by predetermined variables such as information in the term structure and macro economic variables. Recent studies suggest that demand and supply of bonds influence bond excess returns. We extend the literature and...
Persistent link: https://www.econbiz.de/10010582654
We investigate why individual stocks become more volatile over the 1976–2000 period, during which quarterly accounting data are available at the firm level. On average, corporate earnings have deteriorated and their volatilities have increased over the sample period. This is more evident for...
Persistent link: https://www.econbiz.de/10005607990
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