Thumbnail
Access Restriction
Open

Author Singleton, Kenneth J. ♦ Joslin, Scott ♦ Half, Marcel Priebsch First
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Abstract Variation in bond yields well described by 3-factor affine DTSMs, consistent with Litterman and Scheinkman (1991). Moreover, these models show significant time-variation in risk premiums (e.g., Duffee (2002), Dai and Singleton (2002)). Recently Cochrane and Piazzesi (2008) and Duffee (2008) show that yield information over and above the first 3 PCs is relevant for forecasting excess returns. Spring, 2009 – p. 2 Objectives of Our Research Variation in bond yields well described by 3-factor affine DTSMs, consistent with Litterman and Scheinkman (1991). Moreover, these models show significant time-variation in risk premiums (e.g., Duffee (2002), Dai and Singleton (2002)). Recently Cochrane and Piazzesi (2008) and Duffee (2008) show that yield information over and above the first 3 PCs is relevant for forecasting excess returns. Our research revisits the evidence on variation in expected excess returns within an arbitrage-free DTSM that (i) conditions on information about output growth, inflation, and liquidity conditions in financial markets; (ii) accommodates variation in these macro and liquidity variables that is orthogonal to variation in the yield curve. Spring, 2009 – p. 4
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study