| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4972
|
| DP4972 Bertrand Equilibria and Sharing Rules |
| Steffen Hoernig
|
| 发表日期 | 2005-03-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | Recent research in empirical finance has documented that expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In this paper we propose an empirical model that is able to capture these complex dynamics, yet is simple to apply in practice, and we explore its implications for asset allocation. Changes in investment opportunities can alter the risk-return tradeoff of bonds, stocks, and cash across investment horizons, thus creating a ?term structure of the risk-return tradeoff?. We show how to extract this term structure from our parsimonious model of return dynamics, and illustrate our approach using data from the US stock and bond markets. We find that asset return predictability has important effects on the variance and correlation structure of returns on stocks, bonds and T-bills across investment horizons. |
| 主题 | Financial Economics
|
| 关键词 | Risk-return tradeoff
Mean-variance analysis
Long-horizon investing
Vector autoregression
|
| URL | https://cepr.org/publications/dp4972
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533870
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推荐引用方式
GB/T 7714 |
Steffen Hoernig. DP4972 Bertrand Equilibria and Sharing Rules. 2005.
|
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