The Term Structures Of Equity And Interest Rates PDF Download
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Author | : Martin Lettau |
Publisher | : |
Total Pages | : 27 |
Release | : 2009 |
Genre | : Interest rates |
ISBN | : |
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This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimonious stochastic discount factor for the economy. Shocks to dividend growth, the real interest rate, and expected inflation are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show that the model can simultaneously account for the behavior of aggregate stock returns, an upward-sloping yield curve, the failure of the expectations hypothesis and the poor performance of the capital asset pricing model.
Author | : Martin Lettau |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download The Term Structure of Equity and Interest Rates Book in PDF, ePub and Kindle
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Download Modeling the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author | : Sadayuki Ono |
Publisher | : |
Total Pages | : 302 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Essays on the Term Structure of Interest Rates and the Pricing of Equity Options Book in PDF, ePub and Kindle
Author | : Taeyoung Doh |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
Download The Equilibrium Term Structure of Equity and Interest Rates Book in PDF, ePub and Kindle
Author | : Diana Ruthenberg |
Publisher | : GRIN Verlag |
Total Pages | : 13 |
Release | : 2006-04-14 |
Genre | : Business & Economics |
ISBN | : 3638491285 |
Download The term structure of interests rates Book in PDF, ePub and Kindle
Essay from the year 2004 in the subject Business economics - Investment and Finance, grade: 1.8, University of Plymouth (Business School), language: English, abstract: Firstly, this report will depict briefly what a bond is in general and how to evaluate its advantages and inconveniences for potential investors. Then it aims at to explain when and why the yield on long-term bonds often exceeds the yield on short-term bonds. The explanation will mainly be based on the three primary theories: the expectations hypothesis, the liquidity premium / preferred habitat theories and the market segmentation theory.
Author | : Martin Lettau |
Publisher | : |
Total Pages | : 27 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download The Terms Structures of Equity and Interest Rates Book in PDF, ePub and Kindle
Author | : Burton Gordon Malkiel |
Publisher | : Princeton University Press |
Total Pages | : 294 |
Release | : 2015-12-08 |
Genre | : Business & Economics |
ISBN | : 1400879787 |
Download Term Structure of Interest Rates Book in PDF, ePub and Kindle
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 | : Giuliano Curatola |
Publisher | : |
Total Pages | : 34 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Loss Aversion, Habit Formation and the Term Structures of Equity and Interest Rates Book in PDF, ePub and Kindle
I propose a consumption-based asset pricing model that jointly explains the high equity premium, the counter-cyclical behaviour of stock returns, the upward sloping term structure of interest rates and the downward sloping term structure of equity. The driving forces behind these results are loss-aversion and time-varying habits. The high premium is the reward for holding assets that deliver low returns when consumption descends below habits. The term structure of interests rates is upward sloping because long-term bonds are more sensitive to fluctuations of discount rates. The term structure of equity is downward sloping because long-horizon equity gives higher chances to beat consumption habits than short-horizon equity.
Author | : Jacob B. Michaelsen |
Publisher | : |
Total Pages | : 200 |
Release | : 1973 |
Genre | : Business & Economics |
ISBN | : |
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