G12 - Asset Pricing; Trading volume; Bond Interest Rates
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Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). -
Can Affine Term Structure Models Help Us Predict Exchange Rates?
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. -
Benchmark Index of Risk Appetite
Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. -
Risk Perceptions and Attitudes
Changes in risk perception have been used in various contexts to explain shorter-term developments in financial markets, as part of a mechanism that amplifies fluctuations in financial markets, as well as in accounts of "irrational exuberance." -
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
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). -
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
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. -
The Monetary Origins of Asymmetric Information in International Equity Markets
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. -
Modelling the Evolution of Credit Spreads in the United States
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. -
International Equity Flows and Returns: A Quantitative Equilibrium Approach
The authors model trading by foreign and domestic investors in developed-country equity markets.