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Download e-book for iPad: Bond Return Predictability. The Cochrane and Piazzesi model by Thomas Mehlhaff

By Thomas Mehlhaff

ISBN-10: 366813426X

ISBN-13: 9783668134263

degree Thesis from the 12 months 2015 within the topic Economics - Finance, grade: 1.0, collage of Frankfurt (Main) (Faculty of Economics and enterprise Administration), path: Finance, language: English, summary: the current paintings offers with the headline subject of bond go back predictability and to some degree with foreign currency predictability. After a brief evaluate of earlier learn on bond go back predictability the current paintings predominantely offers with the Cochrane-Piazzesi issue (CP-factor) which seemlingly predicts lagged bond extra returns higher than all identified versions to this point. The version is established on a host of alternative information units from diverse international locations and underscores the prevalence of this version compared to different bond predictability versions, that are additionally defined. within the final portion of the current paintings the CP-factor is utilized in order to check if it is attainable to give an explanation for the ahead top class puzzle and therefore is ready to are expecting alterations and extra returns in foreign currencies rates.

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Bond Return Predictability. The Cochrane and Piazzesi model (CP-factor) by Thomas Mehlhaff


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