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Persistent link: https://www.econbiz.de/10001475163
This paper documents that even naïve cross-market diversification strategies lead to substantial improvements of risk-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices excess returns of individual bond markets...
Persistent link: https://www.econbiz.de/10013307151
Persistent link: https://www.econbiz.de/10015117945