This paper presents and estimates a regime switching macro-finance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined simultaneously. Both the canonical yields-only model and the macro-finance model capture two...

We extract global yield curve factors based on the affine arbitrage-free dynamic Nelson-Siegel model. The measure of integration proposed in the paper allows time-varying partial segmentation of national and global government bond markets. It takes into account the maturity structure of yields,...

The Fama–French pricing model with dynamic factors (DFPM) extracted via the Kalman filter from the six size and book-to-market portfolios has a good performance in understanding stock returns. Using international stock market data, we find that the DFPM significantly improves the...

This paper finds that the European leading economic indicator, a prime business cycle indicator for the European economies published by the OECD, can strongly predict European stock returns and generate utility gains. Importantly, the predictive power of the European indicator is above and...

This paper investigates the out-of-sample predictability of international bond risk premia. We endogenously construct a global common Cochrane and Piazzesi (2005) factor. We find that the global factor strongly predicts international bond risk premia and delivers economically significant gains...

This paper investigates the tripartite association among capital gains, illiquidity, and stock market returns. We find that trading in capital gains improves stock liquidity. We also find that realized stock returns are negatively related to the joint term of illiquidity and capital gains, but...

This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We...

This paper verifies that prospect theory preferences and speculative motives are drivers of trading in relation to capital gains at the stock level. Initially, investors are less likely to sell a stock as capital gains or losses become larger, consistent with the prospect theory. When capital...

In this study, we use both quote and trade data for the FTSE-100 futures for 2001–2004 in order to examine asymmetric volatility in the context of extreme sells. We define extreme sells as ask quotes that involve large percentages of total depth, selling orders executed at prices much closer...

This paper shows that the predictability of excess bond returns could be due to the persistence of regime shifts in interest rate dynamics. This is achieved through the introduction of a regime-dependent heteroscedasticity into the discrete Vasicek model. It therefore provides a new perspective...