International evidence on bond risk premia

Sekkel, Rodrigo

doi:10.1016/j.jbankfin.2010.07.029

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2023

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Cited by 26 publications

(13 citation statements)

References 24 publications

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“…Our findings are consistent withDahlquist and Hasseltoft (2011) andSekkel (2011) who show the evidence on bond return predictability across multiple countries. It is worth noting that the magnitudes of the R 2 s are sensitive to the chosen sample.…”

supporting

confidence: 92%

A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

2012

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supporting

confidence: 92%

A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

2012

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“…The impact that occurs right after the CP factor shock is statistically significant and lasts up to fourteen months. Similar to Sekkel (2011) and Cochrane and Piazzesi (2005), this finding shows that a linear combination of forward rates has an essential role in explaining the risk premiums.…”

Section: Resultssupporting

confidence: 61%

Local currency bond risk premia of emerging markets: The role of local and global factors

Çepni

Gül

Gupta

2020

Finance Research Letters

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This paper investigates the sources of variation in emerging market (EM) local currency bond risk premium. Empirical results suggest that both global and local factors contain valuable information in explaining the local currency bond excess returns. We show that economic policy uncertainty causes the excess bond returns to increase while positive innovations in the term spread, CP factor and implied FX volatility have downward impacts on the excess returns. Besides, the high level of spillover from developed markets to EMs may confine the diversification benefits from holding EM local currency bonds.

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“…This important issue has been the focus of an extensive literature on asset prices dating back more than a century. Despite an enormous amount of past efforts, whether future asset price changes can be meaningfully predicted is still a subject of ongoing debates and intensive empirical research (see, for example, Ang and Bekaert, 2007;Campbell and Thompson, 2008;Welch and Goyal, 2008;Rapach et al, 2010;Sekkel, 2011). 1 The literature of asset return predictability has focused on the stock market.…”

Section: Introductionmentioning

confidence: 99%