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作者：Boudoukh, J; Whitelaw, RF; Richardson, M; Stanton, R
作者单位：New York University; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：Multivariate density estimation (MDE) suggests that mortgage-backed security (MBS) prices can be well described as a function of the level and slope of the term structure. We analyze how this function varies across MBSs with different coupons. An important finding is that the interest rate level proxies for the moneyness of the option, the expected level of prepayments, and the average life of the cash flours, while the term structure slope controls for the average rate at which these cash flo...
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作者：Cai, J; Chan, KC; Yamada, T
作者单位：Hong Kong University of Science & Technology
摘要：We analyze the performance of Japanese open-type stock mutual funds for the 1981-1992 period The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% and 10.8% per annum. These funds tend to invest more in large stocks with low, book-to-market ratios. gut this feature does not explain the underperformance. A potential explanation is the dilution effect caused by inflows of funds. In Japa...
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作者：Day, TE; Lewis, CM
作者单位：Vanderbilt University
摘要：This article examines the relationship between the volatility of the crude oil futures market and changes in initial margin requirements. To closely match changes in futures market volatility with the corresponding changes in margin requirements, we infer the volatility of the futures market from the prices of crude oil futures options contracts. Using a mean-reverting diffusion process for volatility, we show that changes in margin policy do not affect subsequent market volatility.
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作者：Bansal, R
摘要：A standard empirical finding is that expected changes in exchange rates and Interest rate differentials across countries are negatively related implying that uncovered interest rate parity is violated in the data This article provides new empirical evidence that suggests that violations of uncovered interest rate parity, and its economic implications, depend on the sign of the interest rate differential. A framework related to term structure models is developed to account for the puzzling rela...
