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The forward and the equity premium puzzles: two symptoms of the same illness?
(Escola de Pós-Graduação em Economia da FGV, 2006-05-25)
The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2007-08-01)
In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ...
A note on the forward and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-07-12)
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...
The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-04-04)
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-24)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-11-05)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-08-12)
We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ...
Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2011-07-01)
This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, where it appears as a marginal rate of substitution, and from the arbitrage perspective, where it appears as the Radon – ...
Can a habit formation model really explain the forward premium anomaly?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-05-12)
Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ...