Expectations and Risk Premia at 8:30am
Title | Expectations and Risk Premia at 8:30am PDF eBook |
Author | Peter Hördahl |
Publisher | |
Pages | |
Release | 2017 |
Genre | |
ISBN |
Expectations and Risk Premia at 8
Title | Expectations and Risk Premia at 8 PDF eBook |
Author | Peter Hördahl |
Publisher | |
Pages | 70 |
Release | 2017 |
Genre | |
ISBN |
We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model estimates using monthly data, we show that bond yields move after announcements mostly because of revisions to expectations about short-term interest rates. Changes in risk premia are also sizable, partly offset the effects of short-rate expectations and help to account for the hump-shaped pattern across maturities. Most announcement responses are due to changes in expectations about the output gap.
Expectations and Risk Premia at 8:30am
Title | Expectations and Risk Premia at 8:30am PDF eBook |
Author | Peter Hördahl |
Publisher | |
Pages | |
Release | 2015 |
Genre | |
ISBN |
Rational Expectations, Risk Premia, and the Market for Spot and Forward Exchange
Title | Rational Expectations, Risk Premia, and the Market for Spot and Forward Exchange PDF eBook |
Author | Richard Meese |
Publisher | |
Pages | 68 |
Release | 1980 |
Genre | Econometrics |
ISBN |
Rational Expectations Model of Time Varying Risk Premia in the Commodities Futures Markets : Theory and Evidence
Title | Rational Expectations Model of Time Varying Risk Premia in the Commodities Futures Markets : Theory and Evidence PDF eBook |
Author | S. E. Beck |
Publisher | |
Pages | |
Release | 1990 |
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ISBN |
Fool's Errand? Robust Identification of Risk Premia and Expectations in Asset Prices
Title | Fool's Errand? Robust Identification of Risk Premia and Expectations in Asset Prices PDF eBook |
Author | Rodrigo Guimaraes |
Publisher | |
Pages | 58 |
Release | 2016 |
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ISBN |
In this paper I show that the difficulty in estimating unconditional means from time series data alone is the cause for the lack of robustness in empirical estimates of the workhorse model in macro-finance. Using US and UK yield curve data and an extensive Monte Carlo study I show that using survey forecasts is effective in producing robust estimates of term premia, while alternative estimation methods and model restrictions are ineffective. I propose a new way to measure robustness that is simple and allows sharper comparisons across models and sheds new light on the nature of hidden and unspanned factors.
Popularity: A Bridge between Classical and Behavioral Finance
Title | Popularity: A Bridge between Classical and Behavioral Finance PDF eBook |
Author | Roger G. Ibbotson |
Publisher | CFA Institute Research Foundation |
Pages | 128 |
Release | 2018 |
Genre | Business & Economics |
ISBN | 1944960619 |
Classical and behavioral finance are often seen as being at odds, but the idea of “popularity” has been introduced as a way of reconciling the two approaches. Investors like or dislike various characteristics of securities for rational reasons (as in classical finance) or irrational reasons (as in behavioral finance), which makes the assets popular or unpopular. In the capital markets, popular (unpopular) securities trade at prices that are higher (lower) than they would be otherwise; hence, the shares may provide lower (higher) expected returns.This book builds on this idea and expands it in two major ways. First, it introduces a rigorous asset pricing model, the popularity asset pricing model (PAPM), which adds investor preferences for security characteristics other than the risk and expected return that are part of the capital asset pricing model. A major conclusion of the PAPM is that the expected return of any security is a linear function of not only its systematic risk (beta) but also of all security characteristics that investors care about. The other major contribution of the book is new empirical work that, while confirming the well-known premiums (such as size, value, and liquidity) in a popularity context, supports the popularity hypothesis on the basis of portfolios of stocks based on such characteristics as brand value, sustainable competitive advantage, and reputation. Popularity unifies the factors that affect price in classical finance with those that drive price in behavioral finance, thus creating a unifying theory or bridge between classical and behavioral finance.