NBER WORKING PAPER SERIES OF BELIEFS. Pierre Collin-Dufresne
... cal findings question this doubly-stochastic assumption. For example, Das et al. (2006, 2007) report that the observed clustering of defaults in actual data are inconsistent with this assumption. Duffie et al (2009) use a fragility-based model similar to ours to identify a hidden state variable consis ...
... cal findings question this doubly-stochastic assumption. For example, Das et al. (2006, 2007) report that the observed clustering of defaults in actual data are inconsistent with this assumption. Duffie et al (2009) use a fragility-based model similar to ours to identify a hidden state variable consis ...
The Cost of Immediacy for Corporate Bonds
... exclusion date, and inventories are back to normal within two weeks. We note that, during the crisis, the cumulative change in inventories for the short-maturity bonds becomes negative within a day of the exclusion, probably because selling these liquid bonds was the easiest way to raise cash. We al ...
... exclusion date, and inventories are back to normal within two weeks. We note that, during the crisis, the cumulative change in inventories for the short-maturity bonds becomes negative within a day of the exclusion, probably because selling these liquid bonds was the easiest way to raise cash. We al ...
Treasury Bill Yields: Overlooked Information
... interest rates and risk premium.1 Thus, a change in risk premium can be expected to affect bond yields. However, the recent literature has found the opposite; risk premium in the Treasury bond market does not appear to affect the shapes of yield curves. For example, Cochrane and Piazzesi (2005, p.14 ...
... interest rates and risk premium.1 Thus, a change in risk premium can be expected to affect bond yields. However, the recent literature has found the opposite; risk premium in the Treasury bond market does not appear to affect the shapes of yield curves. For example, Cochrane and Piazzesi (2005, p.14 ...
16. Investing in Bonds
... 11) When a bond has a par or face value of $1,000 and a 6% coupon rate, the semiannual payment would be $60. Answer: FALSE Diff: 1 Question Status: Revised 12) During their lifetime, bonds can be sold for more or less than their face value depending on the demand for these particular bonds. Answer: ...
... 11) When a bond has a par or face value of $1,000 and a 6% coupon rate, the semiannual payment would be $60. Answer: FALSE Diff: 1 Question Status: Revised 12) During their lifetime, bonds can be sold for more or less than their face value depending on the demand for these particular bonds. Answer: ...
Asian Investment Grade USD Bonds an Under Appreciated Asset
... 4. What works better in a portfolio and why? Returns and volatility are major drivers of the asset allocation decisions, but there is one more key piece of information involved – namely correlation. Correlation measures how each type of investment moves in relation to other investments in a portfoli ...
... 4. What works better in a portfolio and why? Returns and volatility are major drivers of the asset allocation decisions, but there is one more key piece of information involved – namely correlation. Correlation measures how each type of investment moves in relation to other investments in a portfoli ...
Deflation Risk
... financial and macroeconomic tail risks that have been described in the literature. In particular, we consider a number of measures of systemic financial risk, collateral revaluation risk, sovereign default risk, and business cycle risk and investigate whether these are linked to deflation risk. We find ...
... financial and macroeconomic tail risks that have been described in the literature. In particular, we consider a number of measures of systemic financial risk, collateral revaluation risk, sovereign default risk, and business cycle risk and investigate whether these are linked to deflation risk. We find ...
Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk
... D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arg ...
... D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arg ...
Chapter 15 The Term Structure of Interest Rates
... B. The relationship between the interest rate on a security and its time to maturity. C. The relationship between the yield on a bond and its default rate. D. All of these are correct. E. None of these is correct. The term structure of interest rates is the relationship between two variables, years ...
... B. The relationship between the interest rate on a security and its time to maturity. C. The relationship between the yield on a bond and its default rate. D. All of these are correct. E. None of these is correct. The term structure of interest rates is the relationship between two variables, years ...
NBER WORKING PAPER SERIES PRICE Nicolae Gârleanu
... sharply, and central banks stretched their balance sheets to facilitate funding. These funding problems had significant asset-pricing effects, the most extreme example being the failure of the Law of One Price: securities with (nearly) identical cash flows traded at different prices, giving rise to ...
... sharply, and central banks stretched their balance sheets to facilitate funding. These funding problems had significant asset-pricing effects, the most extreme example being the failure of the Law of One Price: securities with (nearly) identical cash flows traded at different prices, giving rise to ...
successful stock investing
... asset values are good, and income per share is fair, and prices are at a low historical cost, it is wise to buy. The good companies – Blue Chips – are usually safe to buy. Management is important, for the politicians are eternally seeking to plunder all businesses, with various kinds of tricks and s ...
... asset values are good, and income per share is fair, and prices are at a low historical cost, it is wise to buy. The good companies – Blue Chips – are usually safe to buy. Management is important, for the politicians are eternally seeking to plunder all businesses, with various kinds of tricks and s ...
Fabozzi_Ch05_BMAS_7thEd
... The municipal bond market is divided into two major sectors: general obligations and revenue bonds. State and local governments may tax interest income on bond issues that are exempt from federal income taxes. Some municipalities’ exempt interest income from all municipal issues from taxation; ...
... The municipal bond market is divided into two major sectors: general obligations and revenue bonds. State and local governments may tax interest income on bond issues that are exempt from federal income taxes. Some municipalities’ exempt interest income from all municipal issues from taxation; ...
Understanding Yield Curves - PGIM Investments
... security, such as between 2-year and 10-year US Treasury securities (often called “2s/10s” for short). In the above example, that spread is +175 basis points (4.25% vs. 6.00%). Another maturity relationship that is frequently evaluated is the spread between the ultra-short 3-month US Treasury bill v ...
... security, such as between 2-year and 10-year US Treasury securities (often called “2s/10s” for short). In the above example, that spread is +175 basis points (4.25% vs. 6.00%). Another maturity relationship that is frequently evaluated is the spread between the ultra-short 3-month US Treasury bill v ...
