René Garcia - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:40:22+00:00Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
https://www.bankofcanada.ca/2015/03/working-paper-2015-12/
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.2015-03-19T14:57:07+00:00enFunding Liquidity, Market Liquidity and the Cross-Section of Stock Returns2015-03-19Asset pricingFinancial marketsWorking Paper 2015-12https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-12.pdfFunding Liquidity, Market Liquidity and the Cross-Section of Stock ReturnsJean-Sébastien FontaineRené GarciaSermin GungorMarch 2015EE4E43HH1H12Bond Liquidity Premia
https://www.bankofcanada.ca/2009/10/working-paper-2009-28/
Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets.2009-10-15T14:22:56+00:00enBond Liquidity Premia2009-10-15Financial marketsFinancial stabilityWorking Paper 2009-28 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-28.pdfBond Liquidity PremiaJean-Sébastien FontaineRené GarciaOctober 2009EE4E43HH1H12Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
https://www.bankofcanada.ca/2006/09/working-paper-2006-31/
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.2006-09-01T16:07:58+00:00enAssessing and Valuing the Non-Linear Structure of Hedge Fund Returns2006-09-01Econometric and statistical methodsFinancial institutionsWorking Paper 2006-31 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-31.pdfAssessing and Valuing the Non-Linear Structure of Hedge Fund ReturnsAntonio Diez de los RiosRené GarciaSeptember 2006CC1C5GG1The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
https://www.bankofcanada.ca/2005/11/working-paper-2005-36/
The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates.2005-11-01T14:17:05+00:00enThe Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach2005-11-01Interest ratesWorking Paper 2005-36 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-36.pdfThe Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based ApproachRené GarciaRichard LugerNovember 2005EE4E43E44E47E5E52State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
https://www.bankofcanada.ca/2005/04/working-paper-2005-9/
The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000).2005-04-01T12:17:30+00:00enState Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle2005-04-01Financial marketsMarket structure and pricingWorking Paper 2005-9 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-9.pdfState Dependence in Fundamentals and Preferences Explains Risk-Aversion PuzzleFousseni Chabi-YoRené GarciaEric RenaultApril 2005GG1G12G13The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
https://www.bankofcanada.ca/2005/02/working-paper-2005-2/
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.2005-02-01T10:48:46+00:00enThe Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments2005-02-01Financial marketsMarket structure and pricingWorking Paper 2005-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-2.pdfThe Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order MomentsFousseni Chabi-YoRené GarciaEric RenaultFebruary 2005CC6C61GG1G11G12Modelling Risk Premiums in Equity and Foreign Exchange Markets
https://www.bankofcanada.ca/2000/05/working-paper-2000-9/
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.2000-05-07T16:06:53+00:00enModelling Risk Premiums in Equity and Foreign Exchange Markets2000-05-07Exchange ratesFinancial marketsMarket structure and pricingWorking Paper 2000-9 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-9.pdfModelling Risk Premiums in Equity and Foreign Exchange MarketsRené GarciaMaral KichianMay 2000EE4E44FF3F31GG1G12G15