Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"term premium"”.
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Essays on New Keynesian Term Premium Model with Financial Risks
… the modeling of U.S. Treasury (UST) yield curve term premia under the New Keynesian (NK) framework. Loosely speaking, term premium is the difference between a government bond’s yield for a specific tenor and the average of the expected short rates up to that tenor. The dissertation is divided …
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Essays on the term structure of equity returns
This dissertation contains three essays on the term structure of equity returns. In the first chapter I document substantial variation in the cross-section of the term premium of US stocks between 1996 and 2019. I introduce a model with multiple stocks and an SDF with two priced sources of risk - …
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Modelling Term and Inflation Risk Premia in the South African Bond Market
… of approaches has been used to estimate the term premium of bond yields. Early attempts include linear regression models, such as those of Fama and Bliss (1987) and Cochrane and Piazzesi (2005), but these have been shown to be inconsistent and lacking in robustness (Kim and Orphanides …
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Variable risk and the term structure
… variable risk hypothesis is then applied to the term structure of interest rates. The empirical testing generates further support for the liquidity and term premium hypotheses, while a test of the segmented markets hypothesis using this measure of risk is not supportive.
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Market timing and cost of capital of the firm
… firm managers try to time debt markets based on term spreads or excess bond returns when choosing the maturity of new debt issues. Whether debt market timing increases firm value via a reduced cost of capital is an empirical question. I examine differences in firm value across non-timers and …
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Descomposición de la estructura a términos de las tasas de interés de los bonos soberanos de Estados Unidos y Colombia
… sobre los factores locales, aunque el factor determinante de la dinámica de las tasas locales es el “nivel”. De la descomposición se obtienen las expectativas de la tasa corta y la prima por vencimiento. En ese sentido, se observa que el valor de la prima por vencimiento y su volatilidad …