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

Name: Bond Return Predictability. The Cochrane and Piazzesi model (CP-factor)
Brand: Grin Publishing
SKU: 02934097
Price: 42.65 EUR
Availability: InStock
Author: Thomas Mehlhaff
ISBN: 9783668134263

Thomas Mehlhaff

Language

English

Book Paperback

Libristo code: 02934097

Publishers Grin Publishing, February 2016

Diploma Thesis from the year 2015 in the subject Economics - Finance, grade: 1.0, University of Fran... Full description

Libristo code: 02934097

103 b

42.65 €

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Diploma Thesis from the year 2015 in the subject Economics - Finance, grade: 1.0, University of Frankfurt (Main) (Faculty of Economics and Business Administration), course: Finance, language: English, abstract: The present work deals with the headline topic of bond return predictability and to some extent with foreign exchange predictability. After a short overview of past research on bond return predictability the present work predominantely deals with the Cochrane-Piazzesi factor (CP-factor) which seemlingly predicts lagged bond excess returns better than all known models so far. The model is tested on a bunch of different data sets from different countries and underscores the superiority of this model in comparison to other bond predictability models, which are also explained. In the last section of the present work the CP-factor is used in order to test whether it is possible to explain the forward premium puzzle and thus is able to predict changes and excess returns in foreign exchange rates.