Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Evert B. Vrugt"'
Publikováno v:
Journal of Financial Economics, 127(2), 197-225. Elsevier
Koijen, R S J, Moskowitz, T J, Pedersen, L H & Vrugt, E B 2018, ' Carry ', Journal of Financial Economics, vol. 127, no. 2, pp. 197-225 . https://doi.org/10.1016/j.jfineco.2017.11.002
Koijen, R S J, Moskowitz, T J, Pedersen, L H & Vrugt, E B 2018, ' Carry ', Journal of Financial Economics, vol. 127, no. 2, pp. 197-225 . https://doi.org/10.1016/j.jfineco.2017.11.002
We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its “carry,” an ex-ante and model-free characteristic, and its expected price appreciation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::891325b4a68bcb82d620c9e63c51a34e
https://doi.org/10.1016/j.jfineco.2017.11.002
https://doi.org/10.1016/j.jfineco.2017.11.002
Autor:
Evert B. Vrugt
Publikováno v:
The Journal of Fixed Income. 21:5-14
This article develops a tractable framework to simultaneously estimate default probabilities and implied recovery values from sovereign bond prices. The model is simple and parsimonious yet allows for a term structure of default probabilities and pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26b039e1cdde3dc9a3519284a0abc14e
https://doi.org/10.3905/jfi.2011.21.2.005
https://doi.org/10.3905/jfi.2011.21.2.005
Autor:
Ivo J.M. Arnold, Evert B. Vrugt
Publikováno v:
The Financial Review, 45(3), 707-728. Wiley-Blackwell
We show that dispersion-based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasury bond volatility and uncertainty about macroecon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::288842ca1721ceee881e382f0cd9846d
https://doi.org/10.1111/j.1540-6288.2010.00267.x
https://doi.org/10.1111/j.1540-6288.2010.00267.x
Autor:
Evert B. Vrugt
Publikováno v:
Pacific-Basin Finance Journal. 17:611-627
I use a new comprehensive dataset to analyze the impact of ten U.S. and six Japanese macroeconomic announcements on stock market volatility in Japan, Hong Kong, South-Korea and Australia. A GARCH model that allows for multiplicative announcement effe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9f5c2b0875d7a1b54a128eb013d8dd5
https://doi.org/10.1016/j.pacfin.2009.03.003
https://doi.org/10.1016/j.pacfin.2009.03.003
Autor:
Evert B. Vrugt, Ivo J.M. Arnold
Publikováno v:
Applied Financial Economics. 18:1425-1440
We provide empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from participants in the Survey of Profe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab1dd8522d710dea478cbe177ffe4464
https://doi.org/10.1080/09603100701857922
https://doi.org/10.1080/09603100701857922
Autor:
Evert B. Vrugt, Ivo J.M. Arnold
Publikováno v:
German Economic Review. 5:35-59
This paper estimates the impact of interest rate shocks on regional output in Germany over the period from 1970 to 2000. We use a vector autoregression (VAR) model to obtain impulse responses, which reveal differences in the output responses to monet
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f0428c1633a9dfdbccfcb4106e0b685
https://doi.org/10.1111/j.1465-6485.2004.00093.x
https://doi.org/10.1111/j.1465-6485.2004.00093.x
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b28fcf7db10df1ad3e2b8d3ffcbeaccd
https://doi.org/10.2139/ssrn.2632697
https://doi.org/10.2139/ssrn.2632697
Autor:
Ivo J. M. Arnold, Evert B. Vrugt
Publikováno v:
International Journal of Business and Economics. 1(2):123-134
This paper measures the impact of monetary policy shocks on regional and sectoral output in the Netherlands for the period 1973 to 1993. We document large regional and sectoral variation in monetary policy transmission. Our results support previous f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::39150373aefdac31b08052e34e23fcdc
Publikováno v:
SSRN Electronic Journal.
Survey expectations of returns negatively predict future returns both in the cross section of countries and in the time series in three major asset classes: global equities, currencies, and global fixed income. While past returns and survey expectati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f56da6541de6d98aaf51e22bcb55d826
https://doi.org/10.2139/ssrn.2513701
https://doi.org/10.2139/ssrn.2513701
A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::635efdc8f242fa13de64f715625daf24
http://www.nber.org/papers/w19325.pdf
http://www.nber.org/papers/w19325.pdf
