The equity risk premium: a review of models
F Duarte, C Rosa - Economic Policy Review, 2015 - papers.ssrn.com
The authors estimate the equity risk premium (ERP)—the expected return on stocks in
excess of the risk-free rate—by combining information from twenty models for the period …
excess of the risk-free rate—by combining information from twenty models for the period …
The safety trap
RJ Caballero, E Farhi - The Review of Economic Studies, 2018 - academic.oup.com
In this article, we provide a model of the macroeconomic implications of safe asset
shortages. In particular, we discuss the emergence of a deflationary safety trap equilibrium …
shortages. In particular, we discuss the emergence of a deflationary safety trap equilibrium …
[图书][B] Financial decisions and markets: a course in asset pricing
JY Campbell - 2017 - books.google.com
From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …
Pricing the term structure with linear regressions
We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …
using a three-step linear regression approach. Our method allows computationally fast …
The empirical implications of the interest-rate lower bound
C Gust, E Herbst, D López-Salido… - American Economic …, 2017 - aeaweb.org
Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate
lower bound is occasionally binding. We quantify the size and nature of disturbances that …
lower bound is occasionally binding. We quantify the size and nature of disturbances that …
Nonlinearity and flight‐to‐safety in the risk‐return trade‐off for stocks and bonds
We document a highly significant, strongly nonlinear dependence of stock and bond returns
on past equity market volatility as measured by the VIX. We propose a new estimator for the …
on past equity market volatility as measured by the VIX. We propose a new estimator for the …
[HTML][HTML] Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies
J Davis, C Fuenzalida, L Huetsch, B Mills… - Journal of International …, 2024 - Elsevier
Benchmark finance and macroeconomic models appear to deliver conflicting estimates of
the natural rate and bond risk premia. This natural rate puzzle applies not only in the US but …
the natural rate and bond risk premia. This natural rate puzzle applies not only in the US but …
Getting to the core: Inflation risks within and across asset classes
Do “real” assets protect against inflation? Core inflation betas of stocks are negative while
energy betas are positive; currencies, commodities, and real estate also mostly hedge …
energy betas are positive; currencies, commodities, and real estate also mostly hedge …
Equity term structures without dividend strips data
We use a large cross-section of equity returns to estimate a rich affine model of equity prices,
dividends, returns and their dynamics. Using the model, we price dividend strips of the …
dividends, returns and their dynamics. Using the model, we price dividend strips of the …
How do factor premia vary over time? A century of evidence
A Ilmanen, R Israel, TJ Moskowitz… - A Century of Evidence …, 2021 - papers.ssrn.com
Evaluating how factor premia vary over time and across asset classes is challenging due to
limited time series data, especially outside of US equities. We examine four prominent …
limited time series data, especially outside of US equities. We examine four prominent …