کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958024 | 928851 | 2011 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
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چکیده انگلیسی
All consumption-based models of asset pricing imply that the relation between the conditional mean and conditional volatility of any asset reflects the effectiveness of holding that asset as a hedge against intertemporal variation in the marginal utility of consumption. For Treasury Bonds of various maturities, we find significant positive relations. Our empirical findings support the conclusion that investors must sell bonds short to hedge shocks to marginal utility, because realized bond returns tend to be high (low) when investors least (most) desire an additional dollar of consumption. Implications for special cases of the general consumption-based model are also discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economics and Business - Volume 63, Issue 6, November–December 2011, Pages 582–604
Journal: Journal of Economics and Business - Volume 63, Issue 6, November–December 2011, Pages 582–604
نویسندگان
Richard A. Michelfelder, Eugene A. Pilotte,