Browsing by Keyword "investment return"

Now showing items 1-6 of 6

    • Bond Supply and Excess Bond Returns 

      Greenwood, Robin Marc; Vayanos, Dimitri (Oxford University Press (OUP), 2014)
      We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for ...

    • Comovement and Predictability Relationships Between Bonds and the Cross-Section of Stocks 

      Baker, Malcolm P.; Wurgler, Jeffrey (2012)
      Government bonds comove more strongly with bond-like stocks: stocks of large, mature, low-volatility, profitable, dividend-paying firms that are neither high growth nor distressed. Variables derived from the yield curve ...

    • The Cross Section of Expected Holding Period Returns and Their Dynamics: A Present Value Approach 

      Lyle, Matthew R.; Wang, Changyi Chang-Yi (Elsevier, 2015)
      We provide a tractable model of firm-level expected holding period returns using two firm fundamentals—book-to-market ratio and ROE—and study the cross-sectional properties of the model-implied expected returns. We find ...

    • Does Aggregated Returns Disclosure Increase Portfolio Risk Taking? 

      Beshears, John Leonard; Choi, James J.; Laibson, David I.; Madrian, Brigitte (Oxford University Press (OUP), 2017-06-09)
      Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset’s returns), or see long-horizon (rather than ...

    • The Price of Diversifiable Risk in Venture Capital and Private Equity 

      Ewens, Michael; Jones, Charles; Rhodes-Kropf, Matthew (Oxford University Press (OUP), 2013)
      This paper explores the private equity and venture capital (VC) markets and extends the standard principal-agent problem between the investors and venture capitalist to show how it alters the interaction between the venture ...

    • Reaching for Yield in the Bond Market 

      Becker, Bo; Ivashina, Victoria (Wiley-Blackwell, 2013-11-25)
      Reaching for yield—the propensity to buy riskier assets in order to achieve higher yields—is believed to be an important factor contributing to the credit cycle. This paper analyses this phenomenon in the corporate bond ...