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Information, financial markets, and investment : essays in financial and monetary economics

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Dynamic portfolio choice and asset pricing with differential information

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Dynamic portfolio choice and asset pricing with heterogeneous information

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Estimating the price of default risk

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Term structure estimation without using latent factors

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Time variation in the covariance between stock returns and consumption growth

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Macroeconomic news in asset pricing and reality

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Macroeconomic News in Asset Pricing and Reality

Duffee, Gregory R. - 2022

Revisions in successive Greenbook forecasts of quarterly real GDP growth proxy for news of current and expected future economic growth. In the sample 1975 through 2015, news of future growth is slightly negatively related to contemporaneous changes in Treasury bond yields, while news of current...

Persistent link: https://www.econbiz.de/10014236713