This paper examines whether the aggregate investments in corporate equity in the U.S. yield lowering per-unit return for the period 1950-2009. We measure the per-unit return on aggregate equity investment as the ratio of the annual aggregate value of after-tax corporate profit of nonfinancial...

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

After the Lehman-Brothers collapse, the stock index has exceeded its pre-Lehman-Brothers peak by 36% in real terms. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically, bond rates have been persistently negative after...

Muir (2014) shows that the ratio of intermediary equity to GDP predicts future market returns and is a priced risk factor in the cross-section of stock returns. Here, I extend his work and show that expectations of large declines in the equity of financial institutions can also help explain...

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick by tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods which include events...

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...

The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time-varying and highly predictable with the VIX index....

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...