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Volumn 15, Issue 17, 2005, Pages 1213-1218

Comparing returns of US treasuries versus equities: Implications for market and portfolio efficiency

Author keywords

[No Author keywords available]

Indexed keywords

EFFICIENCY MEASUREMENT; MARKET CONDITIONS;

EID: 31144465579     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100500391560     Document Type: Article
Times cited : (6)

References (16)
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    • Yield spreads and interest rate movements: A bird's eye view
    • Campbell, J and Shiller, RJ. (1991) Yield spreads and interest rate movements: A bird's eye view Review of Economic Studies, 58, 495-514
    • (1991) Review of Economic Studies , vol.58 , pp. 495-514
    • Campbell, J.1    Shiller, R.J.2
  • 2
  • 3
    • 84977388192 scopus 로고
    • A reexamination of traditional hypotheses about the term structure of interest rates
    • Cox, JC Ingersoll, JE and Ross, SA. (1981) A reexamination of traditional hypotheses about the term structure of interest rates Journal of Finance, 36, 769-99.
    • (1981) Journal of Finance , vol.36 , pp. 769-799
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 4
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox, JC Ingersoll, JE and Ross, SA. (1985) A theory of the term structure of interest rates Econometrica, 53, 385-407.
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 6
    • 0036296125 scopus 로고    scopus 로고
    • Can forward rates be used to improve interest rate forecasts?
    • Dominguez, E and Novales, A. (2002) Can forward rates be used to improve interest rate forecasts? Applied Financial Economics, 12, 493-504.
    • (2002) Applied Financial Economics , vol.12 , pp. 493-504
    • Dominguez, E.1    Novales, A.2
  • 8
    • 0039174202 scopus 로고    scopus 로고
    • Are forward premia mean reverting?
    • Hejazi, W and Li, Z. (2000) Are forward premia mean reverting? Applied Financial Economics, 10, 343-50.
    • (2000) Applied Financial Economics , vol.10 , pp. 343-350
    • Hejazi, W.1    Li, Z.2
  • 10
    • 0031165159 scopus 로고    scopus 로고
    • The relative performance of yield curve strategies
    • Mann, SV and Ramanlal, P. (1997) The relative performance of yield curve strategies Journal of Portfolio Management, 23, 64-70.
    • (1997) Journal of Portfolio Management , vol.23 , pp. 64-70
    • Mann, S.V.1    Ramanlal, P.2
  • 11
    • 18744380979 scopus 로고    scopus 로고
    • The term structure of interest rates in Australia: An application of long run structural modelling
    • Mansur, A Masih, M and Ryan, V. (2005) The term structure of interest rates in Australia: An application of long run structural modelling Applied Financial Economics, 15, 557-73.
    • (2005) Applied Financial Economics , vol.15 , pp. 557-573
    • Mansur, A.1    Masih, M.2    Ryan, V.3
  • 12
    • 0000706085 scopus 로고
    • A simple, positive-semi definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W and West, K. (1987) A simple, positive-semi definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 13
    • 0037359312 scopus 로고    scopus 로고
    • Comparing forecasting ability of parametric and non-parametric methods: An application with Canadian monthly interest rates
    • Saltoglu, B. (2003) Comparing forecasting ability of parametric and non-parametric methods: An application with Canadian monthly interest rates Applied Financial Economics, 13, 169-76.
    • (2003) Applied Financial Economics , vol.13 , pp. 169-176
    • Saltoglu, B.1
  • 15
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
    • Vasicek, O. (1977) An equilibrium characterization of the term structure Journal of Financial Economics, 5, 177-88.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.1
  • 16
    • 0038684571 scopus 로고    scopus 로고
    • Stylized facts on nominal term structure and business cycles: An empirical VAR study
    • Wu, T. (2003) Stylized facts on nominal term structure and business cycles: An empirical VAR study Applied Economics, 35, 901-6.
    • (2003) Applied Economics , vol.35 , pp. 901-906
    • Wu, T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.