메뉴 건너뛰기




Volumn 39, Issue 12, 2007, Pages 1511-1529

Expected risk and excess returns predictability in emerging bond markets

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; FINANCIAL SYSTEM; FORECASTING METHOD; MACROECONOMICS; PRICING POLICY; PRINCIPAL COMPONENT ANALYSIS;

EID: 34547106576     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840600606336     Document Type: Article
Times cited : (10)

References (19)
  • 1
    • 0037905686 scopus 로고    scopus 로고
    • A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
    • Ang, A. and Piazzesi, M. (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economic, 50, pp. 745-787.
    • (2003) Journal of Monetary Economic , vol.50 , pp. 745-787
    • Ang, A.1    Piazzesi, M.2
  • 2
    • 0346331603 scopus 로고    scopus 로고
    • Expected returns, risk and the integration of international bond markets
    • Barr, DO and Priestly, R. (2004) Expected returns, risk and the integration of international bond markets. Journal of International Money and Finance, 23, pp. 71-97.
    • (2004) Journal of International Money and Finance , vol.23 , pp. 71-97
    • Barr, D.O.1    Priestly, R.2
  • 3
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert, G. and Harvey, CR (1995) Time-varying world market integration. Journal of Finance, 50, pp. 403-444.
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.R.2
  • 4
    • 5744236479 scopus 로고    scopus 로고
    • Global macroeconomics shocks, time-varying covariances and tests of the international CAPM
    • Clare, A., O'Brien, R. and Smith, PN (1996) Global macroeconomics shocks, time-varying covariances and tests of the international CAPM. Applied Economics Letters, 3, pp. 109-113.
    • (1996) Applied Economics Letters , vol.3 , pp. 109-113
    • Clare, A.1    O'Brien, R.2    Smith, P.N.3
  • 5
    • 0037360686 scopus 로고    scopus 로고
    • Expected returns and economic risk in Canadian financial markets
    • Carmichael, B. and Samson, L. (2003) Expected returns and economic risk in Canadian financial markets. Applied Financial Economics, 13, pp. 177-189.
    • (2003) Applied Financial Economics , vol.13 , pp. 177-189
    • Carmichael, B.1    Samson, L.2
  • 6
    • 0004291281 scopus 로고    scopus 로고
    • Princeton University Press, Princeton
    • Cochrane, J. (2001) Asset Pricing, Princeton University Press, Princeton
    • (2001) Asset Pricing
    • Cochrane, J.1
  • 8
    • 0002974404 scopus 로고    scopus 로고
    • The influence of political, economic and financial risk on expected fixed income returns
    • Erb, CB, Harvey, CR and Viskanta, TE (1996) The influence of political, economic and financial risk on expected fixed income returns. Journal of Fixed Income, 6, pp. 7-31.
    • (1996) Journal of Fixed Income , vol.6 , pp. 7-31
    • Erb, C.B.1    Harvey, C.R.2    Viskanta, T.E.3
  • 10
    • 0142078109 scopus 로고
    • Explaining the predictability of asset returns
    • Forson, WE and Harvey, CR (1993) Explaining the predictability of asset returns. Research in Finance, 11, pp. 65-106.
    • (1993) Research in Finance , vol.11 , pp. 65-106
    • Forson, W.E.1    Harvey, C.R.2
  • 11
    • 34547092280 scopus 로고    scopus 로고
    • Risk appetite: Concept and measurement
    • Gai, P. and Vause, N. (2004) Risk appetite: Concept and measurement. Financial Stability Review, 17, pp. 127-136.
    • (2004) Financial Stability Review , vol.17 , pp. 127-136
    • Gai, P.1    Vause, N.2
  • 12
    • 21844487168 scopus 로고
    • Predictable risk and returns in emerging markets
    • Harvey, CR (1995) Predictable risk and returns in emerging markets. Review of Financial Studies, 8, pp. 773-816.
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.R.1
  • 13
    • 0033805520 scopus 로고    scopus 로고
    • CAPM anomalies and the pricing of equity: Evidence from the Honk Kong market
    • Ho, YW, Stranger, R. and Piesse, J. (2000) CAPM anomalies and the pricing of equity: Evidence from the Honk Kong market. Applied Economics, 32, p. 1692.
    • (2000) Applied Economics , vol.32 , pp. 1692
    • Ho, Y.W.1    Stranger, R.2    Piesse, J.3
  • 14
    • 84993913346 scopus 로고
    • Time-varying expected returns in international bond markets
    • Ilmanen, A. (1995) Time-varying expected returns in international bond markets. Journal of Finance, 50, pp. 451-506.
    • (1995) Journal of Finance , vol.50 , pp. 451-506
    • Ilmanen, A.1
  • 16
    • 0032699585 scopus 로고    scopus 로고
    • The Asian financial crisis: What have we learned?
    • Lane, T. (1999) The Asian financial crisis: What have we learned?. Finance and Development, 36, pp. 44-47.
    • (1999) Finance and Development , vol.36 , pp. 44-47
    • Lane, T.1
  • 18
    • 34547103115 scopus 로고    scopus 로고
    • Learning from Argentina's crisis
    • Moreno, A. (2002) Learning from Argentina's crisis. FRBSF Economic Letter, 31, pp. 1-4.
    • (2002) FRBSF Economic Letter , vol.31 , pp. 1-4
    • Moreno, A.1
  • 19
    • 0038684571 scopus 로고    scopus 로고
    • Stylized facts on nominal term structure and business cycles: An empirical VAR study
    • (2003) Stylized facts on nominal term structure and business cycles: An empirical VAR study. Applied Economics, 35, pp. 901-906.
    • (2003) Applied Economics , vol.35 , pp. 901-906


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.