Narrow search
Showing 1 - 10 of 5,343
Cover Image
Long-Run Risk and its Implications for the Equity Premium Puzzle : New Evidence from a Multivariate Framework
Ma, Jun - 2012
This paper investigates the empirical evidence of long-run risk and its implications for the equity premium puzzle. We find that the long-run risk model is generally weakly identified and that standard inferences tend to underestimate the uncertainty of long-run risk. We extend the LM-type test...
Persistent link: https://www.econbiz.de/10013114849
Cover Image
Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …
Persistent link: https://www.econbiz.de/10012981605
Cover Image
Practical Yield, Price, Duration and Convexity Approximations
Chertok, Daniel L. - 2012
Practical techniques for approximating yield given the price and price given the yield are described. Duration and …
Persistent link: https://www.econbiz.de/10013098243
Cover Image
Cash flow duration and the term structure of equity returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …
Persistent link: https://www.econbiz.de/10011521939
Cover Image
The Swaption Cube
Trolle, Anders B. - 2016
We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness...
Persistent link: https://www.econbiz.de/10013008774
Cover Image
Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2018
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … growth into the future and predict high returns for high-duration stocks following high-sentiment periods, contrary to ex …
Persistent link: https://www.econbiz.de/10012936819
Cover Image
A Guide to Duration, DV01, and Yield Curve Risk Transformations
Coleman, Thomas - 2011
Duration and DV01 (dollar duration) measure price sensitivity and provide the basic risk measure for bonds, swaps, and … other fixed income instruments. When valuing instruments off a yield curve, duration and DV01 naturally extend to a vector … reviews the concepts of partial DV01 and duration and then discusses a simple method for transforming partial DV01s between …
Persistent link: https://www.econbiz.de/10013131943
Cover Image
Immunization Derived from a Polynomial Duration Vector in the Spanish Bond Market
Soto, Gloria M. - 2007
polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In …
Persistent link: https://www.econbiz.de/10014050756
Cover Image
Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes
Sant'Anna, Pedro H. C. - 2020
duration variable, may be right-censored. The proposed tests study whether a policy 1) has zero distributional (average) effect … study, and an application about the effect of labor market programs on unemployment duration. Open-source software is …
Persistent link: https://www.econbiz.de/10014123930
Cover Image
How Does Option Listing Affect Underlying Stock Efficiency? Evidence from a Duration Model
Jouaber-Snoussi, Kaouther - 2015
duration dynamic and the informed trading activity around option listing. We use univariate tests and extended Log-ACD models … that account for liquidity. Despite a significant increase in the price duration, option listing seems not to deteriorate … merger in 2002 seems to have an impact on the duration process and the efficiency of underlying stocks …
Persistent link: https://www.econbiz.de/10013036230