Bond Risk PremiaThis paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on forward rates. We find that a single factor prdoi:10.2139/ssrn.1851854Cochrane, John H.Piazzesi, MonikaSocial Science Electronic Publishing...
BondRiskPremiaByJOHNH.COCHRANEANDMONIKAPIAZZESI*Westudytimevariationinexpectedexcessbondreturns.Werunregressionsofone-yearexcessretu..
Bond risk premiaeconomic valueglobal common factorreturn predictabilityout-of-sample forecastsWe endogenously construct a global common Cochrane-Piazzesi (2005) factor. We find that the global factor, a zigzag-shaped linear combination of international forward rates, strongly predicts international bond ...
Secondly, by allowing for a time-varying price of risk proportional to disagreement, we substantially improve the forecasting power of a standard affine model for expected returns. Thirdly, while the predictive content of the return forecasting factor (Cochrane and Piazzesi (2005)) is cut ...
NBER WORKING PAPER SERIES BOND RISK PREMIA John H. Cochrane Monika Piazzesi Working Paper 9178 http://.nber/papers/w9178 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 September 2002 We thank Geert Bekaert, Michael Brandt, Lars Hansen, Bob Hodrick, Narayana Koche...
Bond Risk Premia. We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single fact... Cochrane,H John - 《American Economic Review》 被引量: 0发表: 2005年 Sovereign risk premia in the European ...
Bond Risk Premia Stanford University(债券风险溢价斯坦福大学) Bond Risk Premia By JOHN H. COCHRANE AND MONIKA PIAZZESI* We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent...
bond risk premium 下载积分: 900 内容提示: NBER WORKING PAPER SERIESBOND RISK PREMIAJohn H. CochraneMonika PiazzesiWorking Paper 9178http://www.nber.org/papers/w9178NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138September 2002We thank Geert Bekaert, Michael Brandt, ...
For example, Campbell and Cochrane (1999) theorize that risk premia vary with the difference between consumption and a slow-moving habit, where this difference is driven by shocks to aggre- gate consumption. In this model, financial market risk premia rise when the economy is growing slowly ...
The factor is the nominal bond risk premium, best measured as the Cochrane-Piazzesi (2005, CP) factor. This paper ties the pricing of stocks in the cross-section to the pricing of bonds of various maturities, two literatures that have been developed largely in isolation. A parsimonious ...