Real Risk or Paper Risk? Mis-Measured Factors, Granular Measurement Errors, and Empirical Asset Pricing Tests

2019 ◽  
Author(s):  
Sung Je Byun ◽  
Lawrence Schmidt
Keyword(s):  
Asset Pricing ◽  
Measurement Errors ◽  
Empirical Asset Pricing ◽  
Real Risk ◽  
Asset Pricing Tests

Cross-Sectional Asset Pricing Tests

2010 ◽  
Vol 2 (1) ◽  
pp. 49-74 ◽  
Author(s):  
Ravi Jagannathan ◽  
Ernst Schaumburg ◽  
Guofu Zhou
Keyword(s):  
Asset Pricing ◽  
Cross Sectional ◽  
Asset Pricing Tests

Treasury Bond Illiquidity and Global Equity Returns

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1227-1253 ◽  
Author(s):  
Ruslan Goyenko ◽  
Sergei Sarkissian
Keyword(s):  
Asset Pricing ◽  
Equity Returns ◽  
Asset Valuation ◽  
Macroeconomic Shocks ◽  
Country Level ◽  
Time Period ◽  
Treasury Bond ◽  
Using Data ◽  
The Impact ◽  
Asset Pricing Tests

AbstractIn this study, using data from 46 markets and a 34-year time period, we examine the impact of the illiquidity of U.S. Treasuries on global asset valuation. We find that it predicts equity returns in both developed and emerging markets. This predictive relation remains intact after controlling for various world- and country-level variables. Asset pricing tests further reveal that bond illiquidity is a priced factor even in the presence of other conventional risks. Since the illiquidity of Treasuries is known to reflect monetary and macroeconomic shocks, our results suggest that it can be considered a proxy for aggregate worldwide risks.

Sign in / Sign up

Export Citation Format

Share Document