The Terms Structures Of Equity And Interest Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Terms Structures Of Equity And Interest Rates PDF full book. Access full book title The Terms Structures Of Equity And Interest Rates.
Author | : Martin Lettau |
Publisher | : |
Total Pages | : 27 |
Release | : 2009 |
Genre | : Interest rates |
ISBN | : |
Download The Term Structures of Equity and Interest Rates Book in PDF, ePub and Kindle
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 | : 27 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download The Terms Structures 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 | : 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 | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
Download International Convergence of Capital Measurement and Capital Standards 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 | : 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 | : 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 | : Jacob B. Michaelsen |
Publisher | : |
Total Pages | : 200 |
Release | : 1973 |
Genre | : Business & Economics |
ISBN | : |
Download The Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : David Meiselman |
Publisher | : |
Total Pages | : 96 |
Release | : 1962 |
Genre | : Business & Economics |
ISBN | : |
Download The Term Structure of Interest Rates Book in PDF, ePub and Kindle