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В разделе собрана информация о статьях по экономике, социологии и менеджменту. Во многих случаях приводятся полные тексты статей. (подробнее...)

American Economic Review

Bond Risk Premia [статья]
Опубликовано на портале: 15-11-2007
John H. Cochrane, Monika Piazzesi American Economic Review. 2005.  Vol. 95. No. 1. P. 138-160. 
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-shaped linear combination of forward rates, predicts excess returns on one- to five-year maturity bonds with R2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the returnforecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 25-10-2007
David M. Cutler, James Michael Poterba, Lawrence H. Summers American Economic Review. 1990.  Vol. 80. No. 2. P. 63-68. 
This paper summarizes our earlier research documenting the characteristic speculative dynamics of many asset markets and suggests a framework for understanding them. Our model incorporates "feedback traders," traders whose demand is based on the history of past returns rather than the expectation of future fundamentals. We use this framework to describe ways in which the characteristic return patterns might be generated, and also to address the long-standing question of whether profitable speculation stabilizes asset markets.
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 15-11-2007
Eugene F. Fama, Robert R. Bliss American Economic Review. 1987.  Vol. 77. No. 4. P. 680-692. 
Current 1-year forward rates on 1 - to 5-year U.S. Treasury bonds are information about the current term structure of 1-year expected returns on the bonds, and forward rates track variation through time in 1-year expected returns. More interesting, 1-year forward rates forecast changes in the 1-year interest rate 2- to l-years ahead, and forecast power increases with the forecast horizon. We attribute this forecast power to a mean-reverting tendency in the 1-year interest rate.
ресурс содержит полный текст, либо отрывок из него
Опубликовано на портале: 16-11-2007
Eugene F. Fama, Robert R. Bliss American Economic Review. 1987.  Vol. 77. No. 4. P. 680-692. 
Current 1 -year forward rates on 1 - to 5-year U.S. Treasury bonds are information about the current term structure of 1-year expected returns on the bonds, and forward rates track variation through time in 1-year expected returns. More interesting, 1 -year forward rates forecast changes in the 1 -year interest rate 2- to l-years ahead, and forecast power increases with the forecast horizon. We attribute this forecast power to a mean-reverting tendency in the 1-year interest rate
ресурс содержит полный текст, либо отрывок из него