Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856 PDF Download
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Author: Frederick Robertson Macaulay
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 664
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Book Description
A seminal work that contains the seeds of many of the pricing and risk management tools used in interest-rate markets today - Alan White, Professor of Finance, University of Toronto
Author: Frederick Robertson Macaulay
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 664
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Book Description
A seminal work that contains the seeds of many of the pricing and risk management tools used in interest-rate markets today - Alan White, Professor of Finance, University of Toronto
Author: Robert J. Shiller
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 52
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Book Description
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector autoregression. This overreaction is not associated with any overreaction to changes in the short-run inflation rate. Over the last century real stock prices have shown little reaction to changes in inflation rates, and according to the model they should show little reaction. These conclusions were reached from an analysis of annual data in the united states 1871 to 1989 and the united Kingdom 1918 to 1989.
Author: Frederick R. Macauley
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: O. Glenn Goodhand
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
Author: Edward M. Sevadjian
Publisher:
ISBN:
Category :
Languages : en
Pages : 104
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Book Description
Author: William P. Conlin
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
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Book Description
Author: Frederick R. MACAULAY
Publisher:
ISBN:
Category :
Languages : en
Pages : 351
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Book Description
Author: N. Gregory Mankiw
Publisher:
ISBN:
Category : Dividends
Languages : en
Pages : 36
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Book Description
This paper proposes an alternative to the traditional model for explaining the spread between taxable and tax-exempt bond yields. This alternative model is a special case of a general class of clientele models of portfolio choice and asset market equilibrium. In particular, we consider a setting with two types of investors, a taxable investor and a tax-exempt investor, who hold specialized bond portfolios. The tax-exempt investor holds only taxable bonds, and the taxable investor holds only tax-exempt bonds. Both investors hold equity, and the taxable and tax-exempt bond markets are linked through the equilibrium conditions governing equity holding and bond holding for each type of investor. In contrast to the traditional model, this alternative model has the potential to explain the small observed spread between taxable and tax-exempt yields. In addition, this model predicts that the yield spread between taxable and tax-exempt bonds should be an increasing function of the dividend yield on corporate stocks. Although the substantial changes in the tax code during the last four decades complicate the testing of this model, we find some support for the predicted relationship between the equity dividend yield and the yield spread between taxable and tax-exempt bonds.
Author: Frederick MACAULEY
Publisher:
ISBN: 9781899332724
Category :
Languages : en
Pages : 618
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Book Description
Author: Karl Biedenweg, Ph.D.
Publisher: Mark Twain Media
ISBN: 1580372260
Category : Juvenile Nonfiction
Languages : en
Pages : 67
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Book Description
Introduces the beginning investor to the basics of the stock market. Puzzles, games, and worksheets reinforce learning, and extension activities encourage students to conduct further research beyond the classroom to understand the financial world.
