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Chapter 14. Investment Performance: A Review and Synthesis

Ferson, Wayne E. - 2013

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

Persistent link: https://www.econbiz.de/10014025364

Dynamic Risk-Aware Yield Search : A Useful Tool for Fixed Income Investors

Chakravorty, Gaurav - 2019

benchmark allocation - Barclays US Aggregate Bond Index. In the current low yield environment with flattening yield curves, we …

Persistent link: https://www.econbiz.de/10012893781

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013

We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and trading concentrates on assets of intermediate maturity....

Persistent link: https://www.econbiz.de/10009767309

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013 - Rev.

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and illiquidity spills over from short-term to long-term...

Persistent link: https://www.econbiz.de/10010248497

The correlation puzzle : the interaction of bond and risk correlation

Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2013 - This version: August 7, 2013

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …

Persistent link: https://www.econbiz.de/10009777926

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2016

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only hold short-term assets) and predicts i) a hump-shaped...

Persistent link: https://www.econbiz.de/10011449872

The Choice Channel of Financial Innovation

Iachan, Felipe - 2020

Financial innovation in recent decades has expanded portfolio choice. We investigate how greater choice affects investors' savings and asset returns. We establish a choice channel by which greater portfolio choice increases investors' savings --- by enabling them to earn the aggregate risk...

Persistent link: https://www.econbiz.de/10012843488

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

Persistent link: https://www.econbiz.de/10012250652

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …

Persistent link: https://www.econbiz.de/10012485994

Banks as Patient Fixed Income Investors

Hanson, Samuel G. - 2014

We examine the business model of traditional commercial banks in the context of their co-existence with shadow banks. While both types of intermediaries create safe "money-like" claims, they go about this in very different ways. Traditional banks create safe claims with a combination of costly...

Persistent link: https://www.econbiz.de/10013058005