Return generating process and the determinants of term premiums
This paper examines asset pricing theories for treasury bonds using longer maturities than previous studies and employing a simple multi-factor model. We allow bond factor loadings to vary over time according to term structure variables. The model examines not only the time variation in the expected...
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| Veröffentlicht in: | Journal of banking & finance 1996-08, Vol.20 (7), p.1251-1269 |
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| container_end_page | 1269 |
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| container_title | Journal of banking & finance |
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| creator | Elton, Edwin J. Gruber, Martin J. Mei, Jianping |
| description | This paper examines asset pricing theories for treasury bonds using longer maturities than previous studies and employing a simple multi-factor model. We allow bond factor loadings to vary over time according to term structure variables. The model examines not only the time variation in the
expected returns of bonds but also their
unexpected returns. This allows us to explicitly test some asset pricing restrictions which are difficult to study under existing frameworks. We confirm that the pure expectation theory of the term structure of interest rates is rejected by the data. Our empirical study of a two-factor model finds substantial evidence of time-varying term-premiums and factor loadings. The fact that factor loadings vary with long-term interest rates and yield spreads suggest that bond return volatilities are sensitive to interest rate levels. |
| doi_str_mv | 10.1016/0378-4266(95)00050-X |
| format | Article |
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expected returns of bonds but also their
unexpected returns. This allows us to explicitly test some asset pricing restrictions which are difficult to study under existing frameworks. We confirm that the pure expectation theory of the term structure of interest rates is rejected by the data. Our empirical study of a two-factor model finds substantial evidence of time-varying term-premiums and factor loadings. The fact that factor loadings vary with long-term interest rates and yield spreads suggest that bond return volatilities are sensitive to interest rate levels.</description><identifier>ISSN: 0378-4266</identifier><identifier>EISSN: 1872-6372</identifier><identifier>DOI: 10.1016/0378-4266(95)00050-X</identifier><identifier>CODEN: JBFIDO</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Asset pricing ; Bond markets ; Bond return ; Capital ; Economic models ; Finance ; Interest rates ; Nonlinear cross-equation restriction ; Rates of return ; Stock returns ; Treasury bonds ; Yield to maturity</subject><ispartof>Journal of banking & finance, 1996-08, Vol.20 (7), p.1251-1269</ispartof><rights>1996</rights><rights>Copyright Elsevier Sequoia S.A. Aug 1996</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c539t-7d97ddebea0e87ced03cadbf2a29b9364b75c4542fbd6ce9669eed6d8dbde4333</citedby><cites>FETCH-LOGICAL-c539t-7d97ddebea0e87ced03cadbf2a29b9364b75c4542fbd6ce9669eed6d8dbde4333</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/0378-4266(95)00050-X$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3536,3993,27903,27904,45974</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejbfina/v_3a20_3ay_3a1996_3ai_3a7_3ap_3a1251-1269.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Elton, Edwin J.</creatorcontrib><creatorcontrib>Gruber, Martin J.</creatorcontrib><creatorcontrib>Mei, Jianping</creatorcontrib><title>Return generating process and the determinants of term premiums</title><title>Journal of banking & finance</title><description>This paper examines asset pricing theories for treasury bonds using longer maturities than previous studies and employing a simple multi-factor model. We allow bond factor loadings to vary over time according to term structure variables. The model examines not only the time variation in the
expected returns of bonds but also their
unexpected returns. This allows us to explicitly test some asset pricing restrictions which are difficult to study under existing frameworks. We confirm that the pure expectation theory of the term structure of interest rates is rejected by the data. Our empirical study of a two-factor model finds substantial evidence of time-varying term-premiums and factor loadings. The fact that factor loadings vary with long-term interest rates and yield spreads suggest that bond return volatilities are sensitive to interest rate levels.</description><subject>Asset pricing</subject><subject>Bond markets</subject><subject>Bond return</subject><subject>Capital</subject><subject>Economic models</subject><subject>Finance</subject><subject>Interest rates</subject><subject>Nonlinear cross-equation restriction</subject><subject>Rates of return</subject><subject>Stock returns</subject><subject>Treasury bonds</subject><subject>Yield to maturity</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1996</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNp9kEtr3DAQgEVJods0_6AH00NpDm70sCXr0hJCH4GFQEggt0GWxomWtb2VtIH8-4y7JYceAhoNEt8MMx9jHwX_KrjQZ1yZrm6k1l9se8o5b3l994atRGdkrZWRR2z1grxj73PeEMQ7oVbs-zWWfZqqe5wwuRKn-2qXZo85V24KVXnAKmDBNMbJTSVX81AtL4JwjPsxf2BvB7fNePIvH7Pbnz9uLn7X66tflxfn69q3ypbaBGtCwB4dx854DFx5F_pBOml7q3TTm9Y3bSOHPmiPVmuLGHToQh-wUUods8-HvjTdnz3mAmPMHrdbN-G8z6Asp2MlgZ_-AzczLUizgbBN1wkhDUHNAfJpzjnhALsUR5eeQHBYlMLiCxZfYFv4qxTuqGx9KEu4Q_9Sg4ibfiBB8AjKSU7XE4WwVlOKFIZit3zJVoCQ2sJDGandt0M7JHGPERNkH3EiOzGhLxDm-Po8zyhxmB4</recordid><startdate>19960801</startdate><enddate>19960801</enddate><creator>Elton, Edwin J.</creator><creator>Gruber, Martin J.</creator><creator>Mei, Jianping</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19960801</creationdate><title>Return generating process and the determinants of term premiums</title><author>Elton, Edwin J. ; Gruber, Martin J. ; Mei, Jianping</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c539t-7d97ddebea0e87ced03cadbf2a29b9364b75c4542fbd6ce9669eed6d8dbde4333</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1996</creationdate><topic>Asset pricing</topic><topic>Bond markets</topic><topic>Bond return</topic><topic>Capital</topic><topic>Economic models</topic><topic>Finance</topic><topic>Interest rates</topic><topic>Nonlinear cross-equation restriction</topic><topic>Rates of return</topic><topic>Stock returns</topic><topic>Treasury bonds</topic><topic>Yield to maturity</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Elton, Edwin J.</creatorcontrib><creatorcontrib>Gruber, Martin J.</creatorcontrib><creatorcontrib>Mei, Jianping</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of banking & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Elton, Edwin J.</au><au>Gruber, Martin J.</au><au>Mei, Jianping</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Return generating process and the determinants of term premiums</atitle><jtitle>Journal of banking & finance</jtitle><date>1996-08-01</date><risdate>1996</risdate><volume>20</volume><issue>7</issue><spage>1251</spage><epage>1269</epage><pages>1251-1269</pages><issn>0378-4266</issn><eissn>1872-6372</eissn><coden>JBFIDO</coden><abstract>This paper examines asset pricing theories for treasury bonds using longer maturities than previous studies and employing a simple multi-factor model. We allow bond factor loadings to vary over time according to term structure variables. The model examines not only the time variation in the
expected returns of bonds but also their
unexpected returns. This allows us to explicitly test some asset pricing restrictions which are difficult to study under existing frameworks. We confirm that the pure expectation theory of the term structure of interest rates is rejected by the data. Our empirical study of a two-factor model finds substantial evidence of time-varying term-premiums and factor loadings. The fact that factor loadings vary with long-term interest rates and yield spreads suggest that bond return volatilities are sensitive to interest rate levels.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/0378-4266(95)00050-X</doi><tpages>19</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 1996-08, Vol.20 (7), p.1251-1269 |
| issn | 0378-4266 1872-6372 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_39039092 |
| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Asset pricing Bond markets Bond return Capital Economic models Finance Interest rates Nonlinear cross-equation restriction Rates of return Stock returns Treasury bonds Yield to maturity |
| title | Return generating process and the determinants of term premiums |
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