Now showing items 1-10 of 4374
Do interest rate options contain information about excess returns?
(Elsevier Science Sa, 2011-09-01)
There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...
Decreasing returns, risk premium shocks, and optimal monetary policy
(Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2015)
Comparable Estimates of Returns to Schooling Around the World
(Universidad de Chile, Facultad de Economía y Negocios, 2014)
– Rates of return to investments in schooling have been estimated since the late 1950s. In the 60-plus year history of such estimates, there have been several attempts to synthesize the empirical results to ascertain ...
Bond risk premia and the return forecasting factor
(De Gruyter, 2020-02)
The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this ...
Automatic model selection for forecasting Brazilian stock returns
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...
Beyond the mincer equation: the internal rate of return to higher education in Colombia
(Universidad del RosarioFacultad de Economía, 2009)
In order to present an estimation of the Internal Rate of Return (IRR) to higher education in Colombia we take advantage of the methodological approach provided by Heckman, Lochner and Todd (2005). Trying to overcome the ...
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
(Escola de Pós-Graduação em Economia da FGV, 2003-06-30)
Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...