-
Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado: 3 registros
| Registro 1 de 3 | |
| Autor: | Bekaert, Geert - Hodrick, Robert-J - Marshall, David-A - |
| Título: | On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates |
| Fuente: | Journal of Financial Economics. v.44, n.3. Elsevier Science |
| Páginas: | pp. 309-48 |
| Año: | June 1997 |
| Resumen: | The authors document extreme bias and dispersion in the small-sample distributions of four standard regression-based tests of the expectations hypothesis of the term structure of interest rates. The biases arise because of the extreme persistence in short interest rates. They derive approximate analytic expressions for the biases under a simple first-order autoregressive data generating process for the short rate. The authors then conduct Monte Carlo experiments based on a bias-adjusted first-order autoregressive process for the short rate and for a more realistic bias-adjusted VAR-GARCH model incorporating the short rate and three term spreads. Conducting inference with the small-sample distributions of test statistics rather than with their asymptotic distributions provides a more consistent rejection of the expectations hypothesis. Plausible sources of measurement error in short and long yields do not salvage the expectations hypothesis. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 3 | |
| Autor: | Bekaert, Geert - Harvey, Campbell-R |
| Título: | Emerging Equity Market Volatility |
| Fuente: | Journal of Financial Economics. v.43, n.1. Elsevier Science |
| Páginas: | pp. 29-77 |
| Año: | Jan. 1997 |
| Resumen: | Understanding volatility in emerging capital markets is important for determining the cost of capital and for evaluating direct investment and asset allocation decisions. The authors provide an approach that allows the relative importance of world and local information to change through time in both the expected returns and conditional variance processes. Their time-series and cross-sectional models analyze the reasons that volatility is different across emerging markets, particularly with respect to the timing of capital market reforms. The authors find that capital market liberalizations often increase the correlation between local market returns and the world market but do not drive up local market volatility. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 3 de 3 | |
| Autor: | Bekaert, Geert - Urias, Michael-S |
| Título: | Diversification, Integration and Emerging Market Closed-End Funds |
| Fuente: | Journal of Finance. v.51, n.3. American Finance Association |
| Páginas: | pp. 835-69 |
| Año: | July 1996 |
| Resumen: | We study a new class of unconditional and conditional mean-variance spanning tests that exploits the duality between Hansen-Jagannathan bounds (1991) and mean-standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.-traded closed-end funds. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
*** No hay más registros para visualizar ***
>> Nueva búsqueda <<