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Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence
16 references·1 citing·34 second hop
Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence (2012)Economic Risk Premia in the Fixed Income …Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Do Actions Speak Louder Than …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Predictive regressions (1999)Predictive regressionsBy Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Understanding Risk and Return (1993)Understanding Risk and ReturnOn the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Premium for Heightened Uncertainty: Solving the FOMC Puzzle (2018)Premium for Heightened Uncert…An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Macroeconomics and Reality (1980)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1999Predictive regressions1,614 cited
  • 2004

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Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
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  • 2018Premium for Heightened Uncertainty: Solving the FOMC Puzzle28 cited