The Term Structure Of Returns PDF Download
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Author | : Jules H. van Binsbergen |
Publisher | : |
Total Pages | : 37 |
Release | : 2015 |
Genre | : Rate of return |
ISBN | : |
Download The Term Structure of Returns Book in PDF, ePub and Kindle
We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of new models that can reproduce some of these facts. We relate our evidence on dividend strips to facts about other asset classes such as nominal and corporate bonds, volatility, and housing. We conclude by discussing the broader economic implications by linking the term structure of returns to real economic decisions such as hiring and investment.
Author | : John Y. Campbell |
Publisher | : |
Total Pages | : 66 |
Release | : 1985 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Stock Returns and the Term Structure Book in PDF, ePub and Kindle
It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely together with those on 20-year Treasury bonds, while risk premia on Treasury bills move somewhat independently. Average returns on 20-year bonds have been very low relative to average returns on stocks. I use these observations to test some simple asset pricing models. First I consider latent variable models in which betas are constant and risk premia vary with expected returns on a small number of unobservable hedge portfolios. The data strongly reject a single-latent-variable model. The last part of the paper examines the relationship between conditional means and variances of returns on bills, bonds and stocks. Bill returns tend to be high when their conditional variance is high, but there is a perverse negative relationship between stock returns and their conditional variance. A model is estimated which assumes that asset returns are determined by their time-varying betas with a fixed-weight "benchmark" portfolio of bills, bonds and stocks, whose return is proportional to its conditional variance. This portfolio is estimated to place almost all its weight on bills, indicating that uncertainty about nominal interest rates is important in pricing both short- and long-term assets
Author | : John Y. Campbell |
Publisher | : |
Total Pages | : 45 |
Release | : 2005 |
Genre | : Investments |
ISBN | : |
Download The Term Structure of the Risk-return Tradeoff Book in PDF, ePub and Kindle
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 | : John Y. Campbell |
Publisher | : |
Total Pages | : 54 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download The Term Structure of the Risk-Return Trade-Off Book in PDF, ePub and Kindle
Expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist for long periods. Changes in investment opportunities can alter the risk-return trade-off of bonds, stocks, and cash across investment horizons, thus creating a term structure of the risk-return trade-off. This term structure can be extracted from a parsimonious model of return dynamics, as is illustrated with data from the U.S. stock and bond markets.
Author | : Shouyang Wang |
Publisher | : Springer Science & Business Media |
Total Pages | : 260 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642559344 |
Download Portfolio Selection and Asset Pricing Book in PDF, ePub and Kindle
In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1985 |
Genre | : |
ISBN | : |
Download Stock Returns and the Term Structure Book in PDF, ePub and Kindle
Author | : Gerard Genotte |
Publisher | : |
Total Pages | : |
Release | : 1993 |
Genre | : |
ISBN | : |
Download The Term Structure, Equity Returns, and Yield Premiums on Risky Bonds Book in PDF, ePub and Kindle
Author | : Layne David Kirshon |
Publisher | : |
Total Pages | : 175 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Essays on the Term Structure of Equity Returns Book in PDF, ePub and Kindle
This dissertation contains three essays on the term structure of equity returns. In the first chapter I document substantial variation in the cross-section of the term premium of US stocks between 1996 and 2019. I introduce a model with multiple stocks and an SDF with two priced sources of risk – dividend volatility risk and discount rate risk – which generates an economy with both upward and downward sloping equity term structures. The model creates two hypotheses: (1) dividend strips of stocks with more volatile dividends should earn higher returns, and (2) controlling for dividend volatility, cash flow duration should increase a stock’s term premium. I use the Fama-French factors to empirically validate the model, with factor regressions explaining the majority of variation in term premia. The second chapter studies the relationship between the low volatility anomaly and the equity term structure. I show that dividend strip returns are positively related to measures of risk and volatility, while term premium returns are negatively related to risk and volatility. This generates a puzzle for explanations of the low volatility anomaly based on general preference for volatility, such as leverage constraints, that cannot distinguish across the term structure. The results support market specific explanations such as behavioral models of utility over realized gains (as opposed to unrealized paper gains) from investments. The third chapter studies the effect of buybacks on the equity term premium. First, I show that firms that conduct a buyback for the first time see an immediate drop in the returns to their dividend strips (due to unfulfilled dividend expectations), and a concurrent increase in their term premia. This confirms that buybacks do indeed substitute for dividends. Second, I show that firms that have repurchased shares earn a “buyback premium” due to the fact that cash flows may be returned as repurchases instead of dividends.
Author | : Frank J. Fabozzi |
Publisher | : John Wiley & Sons |
Total Pages | : 530 |
Release | : 2002-11-29 |
Genre | : Business & Economics |
ISBN | : 047144698X |
Download Interest Rate, Term Structure, and Valuation Modeling Book in PDF, ePub and Kindle
This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
Author | : Reuben A. Kessel |
Publisher | : |
Total Pages | : 132 |
Release | : 1965 |
Genre | : Business & Economics |
ISBN | : |
Download The Cyclical Behavior of the Term Structure of Interest Rates Book in PDF, ePub and Kindle