The paper estimates conditional pricing models for 11 international government bonds and shows that, while local instruments capture the change in the bonds' risks, global instruments model the variation in the factor risk premia. Altogether the changes in the factor risk premium capture 78.25% of the bonds' predictability, while the dynamics in the betas account for less than 1%. One cannot conclude however that the conditional models are well-specified as parameter instability and relatively large mean squared errors were uncovered. These results extend for the first time some of the evidence from the equity market of Ferson and Harvey (1993), Harvey (1995) and Ghysels (1998) to the bond market.
Introduction. II. The Development Agreement as an Important Bargaining Device, Moving Away from Traditional Euclidian Zoning. A. The Benefits to the Developer and the Municipality. 1. Common provisions in the development agreement enabling statutes. a. Municipality's authority to act. b. Goals. c. Minimum provisions. d. Conformance with comprehensive plans. e. Duration. f. Amendment, cancellations, exceptions. g. Approval and adoption. h. Effect of the agreement. III. Two Issues Regarding Contract and Conditional Zoning: The Reserved Powers Doctrine and Transparency. A. The Contracts Clause and the Reserved Powers Doctrine. 1. Contract zoning as bargaining away of police powers. 2. When an agreement between a municipality and a developer is subject to challenge. 3. Per se ill...
This paper examines the impact of the introduction of the futures market, on the volatility of the underlying Portuguese stock market. The simple analysis of variance is only the first step to a later undertaking of a much more robust methodology which involves the application of a GARCH model, with the main purpose of studying some potential changes on the structure of the conditional volatility of the Portuguese stock market. The results for the Portuguese market are not identical to those generally found internationally. The initial and simple analysis of variance seems to suggest a strong increase in the level of volatility. When a GARCH model is applied, with the main purpose of studying the evolution of the structure of the conditional volatility, a reduction in market efficiency,...
The paper studies the temporal variations in the conditional correlations between real estate investment trust (REIT) returns and equity, bond, and commodity returns. The findings reveal that the correlations between REITs and equity returns rose over the period analyzed, while the correlations with bonds and commodities fell. The findings also reveal that the correlations with REITs rose especially in periods of above average volatility in equity and bond markets; however, for U.S. government securities and the Goldman Sachs Commodity Index, the conditional correlations with REITs fell in periods of high volatility in these markets. This indicates that to reduce the total risk of their portfolio, investors in U.S. government securities and commodities should tilt their asset allocation...
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