This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...

Using a disaggregate survey data base, this paper re-examines the issue of the existence of a time-varying risk premia in three foreign exchange markets. Previous research on this topic has utilized a consensus measure of the risk premium, based on the rational expectations assumption, and is...

This study examines the predictive power of comprehensive income and its individual components within the homogenous institutional setting of German IFRS firms. The results could be relevant for the standard setters IASB and FASB and their joint project “Financial Statement Presentation”. We...

Over the past 20 years, active fixed income (FI) managers have tended to deliver returns in excess of their benchmarks. This has generated a popular notion that active investing in fixed income markets is ‘easy'. Our aim is to assess the veracity of that notion. Across a broad set of popular...

Reduziert eine IFRS-Umstellung die Informationsdefizite der Fremdkapitalgeber und somit auch die Risikoprämie von Unternehmensanleihen? Entgegen bisherigen empirischen Untersuchungen betrachten wir den Zusammenhang zwischen Offenlegung und Kapitalkosten für Fremdfinanzierung. Folglich...

We show analytically under quite general conditions that implied rates of return based on analysts' earnings forecasts are only a downward biased estimator for future expected one-period returns and therefore not suited for computing market risk premia. The extent of this bias is substantial as...

We review the labor market implications of recent real-business-cycle models that successfully replicate the empirical equity premium. We document the fact that all models considered in this survey with the exception of Boldrin, Christiano, and Fisher (2001) imply a negative correlation of...