–The mimicking portfolios for the two term-structure factors, term-premium and default-premium, capture most of the variation in the returns on government and corporate bonds 对于债券,两个期限结构因子(期限溢价和违约溢价)的模拟投资组合捕获了政府和公司债券投资组合收益率的大部分变化。 –The term-str...
(2004), Time-varying Excess Returns on UK Government Bonds: A Non- linear Approach, Journal of Banking & Finance, Vol. 28, pp. 45-62.Lekkos, I., and Milas, C., 2004. Time-varying excess returns on UK government bonds: A non- linear approach. Journal of Banking and Finance 28: ...
TERMis LTG-RF, where LX is the long-term government bond return. DEF IS CB-LTG, where CB is the return on a proxy for the market portfolto of corporate bonds. The sevenbond portfolios used as dependent variables m the excess-return regressions are1-to5-year and 6-to10-year governments...
Commonriskfactorsinthereturnsonstocksandbonds-FamaFrench,JFE1993(三因子模型)翻译 Common risk factors in the returns on 本文论证了股票和债券的回报率五种常见的危险因素。有三个 是股市的因素:整体市场因素,相关企业规模和账面市场因素。有两个债券市场的因素,市场成熟度和违约风险。股票收益有相同的变化,同时它...
NPS does not have afixedorguaranteed returnbut thereturns are market-linked. Money contributed to the NPS account can be invested in up to 4 asset classes – equities, corporate bonds, government bonds and alternative assets through various pension funds. NPS accounts are of two types:Tier-I ...
Fixed-income investments, as measured by total real returns on government bonds, were Diminishainlsogcornesitduerranblsy hi(gihnervoensbottoh rsidiems opf tlhice Aatltainoticninst)he 1985–2014 period than t...
There is little evidence in table 2 that (a) average returns on government bonds increase with maturity, (b) long-term corporate bonds have higher average returns than government bonds, or (c) average returns on corporate bonds are higher for lower-rating groups. The flat cross-section of ...
Clay Finlay can identi fy international market opportunities and especially s elect companies with strong growth chances ROT HSCHILD ASSET MANAGEMENT Rothschild aims to add stability and income to the und by investing in government bonds( ) and othery interest securities And with Marks& spencer Finan...
This paper investigates dynamic correlations both across commodities and between commodities and traditional assets, such as equities and government bonds, using the Regime Switching Dynamic Correlation (RSDC) model. There are three major findings. First, results from correlations both across commodities...
government bonds and T-bill rates, the spread between yields on high-yield (Baa) corporate bonds and returns on long-term U.S. government bonds, and the spread between returns on high-grade corporate bonds and returns on long-term U.S. government bonds. The overall OLS results suggest ...