Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Term Structure Equity Returns And Yield Premiums On Risky Bonds PDF full book. Access full book title The Term Structure Equity Returns And Yield Premiums On Risky Bonds.
| Author | : Gerard Genotte |
| Publisher | : |
| Total Pages | : |
| Release | : 1993 |
| Genre | : |
| ISBN | : |
| Author | : Luis M. Viceira |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yield on long-term bonds and short-term bonds forecasts positively future excess returns on bonds at varying horizons, and that the short-term nominal interest rate forecasts positively stock return volatility and exchange rate volatility. This paper presents evidence that movements in both the short-term nominal interest rate and the yield spread are positively related to changes in subsequent realized bond risk and bond return volatility. The yield spread appears to proxy for business conditions, while the short rate appears to proxy for inflation and economic uncertainty. A decomposition of bond betas into a real cash flow risk component, and a discount rate risk component shows that yield spreads have offsetting effects in each component. A widening yield spread is correlated with reduced cash-flow (or inflationary) risk for bonds, but it is also correlated with larger discount rate risk for bonds. The short rate forecasts only the discount rate component of bond beta.
| Author | : Ramon E. Johnson |
| Publisher | : |
| Total Pages | : 750 |
| Release | : 1966 |
| Genre | : Bonds |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
| Author | : Burton Gordon Malkiel |
| Publisher | : Princeton University Press |
| Total Pages | : 294 |
| Release | : 2015-12-08 |
| Genre | : Business & Economics |
| ISBN | : 1400879787 |
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
| Author | : Richard K. Crump |
| Publisher | : |
| Total Pages | : 88 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Bond yields can be decomposed into expected short rates and term premiums. We directly measure the former using all available U.S. professional forecasts and obtain the latter as the difference between bond yields and survey-based expected short rates. While the behavior of nominal and real short rate expectations is consistent with standard macroeconomic theory, term premiums account for the bulk of the cross-sectional and time series variation in yields. They also largely explain the yield curve's reaction to a host of structural economic shocks. This dramatic failure of the expectations hypothesis highlights the importance of term premiums for macro-financial transmission.
| Author | : John Y. Campbell |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 2005 |
| Genre | : Investments |
| ISBN | : |
Recent research in empirical finance has documented that expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In this paper we propose an empirical model that is able to capture these complex dynamics, yet is simple to apply in practice, and we explore its implications for asset allocation. Changes in investment opportunities can alter the risk-return tradeoff of bonds, stocks, and cash across investment horizons, thus creating a term structure of the risk-return tradeoff.'' We show how to extract this term structure from our parsimonious model of return dynamics, and illustrate our approach using data from the U.S. stock and bond markets. We find that asset return predictability has important effects on the variance and correlation structure of returns on stocks, bonds and T-bills across investment horizons
| Author | : Leandro Gomes |
| Publisher | : |
| Total Pages | : 91 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
By simultaneously using dividend and variance swap data, we show how the term structure of the equity risk premium varies over time and how its shape is affected by liquidity risk premia. The term structure is always positively sloped, while funding liquidity premia and betas explain the high unconditional returns for all dividend claims. Alphas for short-dated dividend claims are actually negative implying that their returns are too low, whereas alphas for long-dated claims seem to be positive. The term structure slope varies positively with the market risk premium, but it is never negative relative to the first contract -- due to the nearly zero risk premium in the first maturity -- and rarely hump-shaped in some empirical models. We show how the maturity term structure -- the risk premium for dividend strips with different maturities -- is connected to both the horizon term structure -- linked to the variance swap term structure -- and various funding liquidity measures. The risk premium is on average increasing with investment horizon, while the maturity risk premium depends primarily on the short-horizon risk premium, implying that short-horizon investors are the marginal ones. All our results hold in the US, the UK, Europe and Japan.
| Author | : Nicola Anderson |
| Publisher | : |
| Total Pages | : 248 |
| Release | : 1996-06-04 |
| Genre | : Business & Economics |
| ISBN | : |
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
| Author | : Daniela Osterrieder |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields are dominated by a level factor, which requires persistence in the spot interest rate. We find that a fractionally integrated process for the short rate plus a fractionally integrated specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain the stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond returns do not exhibit mean reversion, consistent with the empirical evidence.
