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| 2. |
- Alexius, Annika, et al.
(författare)
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Exchange Rates and Long-Term Bonds
- 2012
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Ingår i: Scandinavian Journal of Economics. - : Wiley. - 0347-0520 .- 1467-9442. ; 114:3, s. 974-990
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Tidskriftsartikel (refereegranskat)abstract
- There is tentative evidence to suggest that the well-documented empirical failure of uncovered interest parity (UIP) is confined to short-term interest rates. However, tests of UIP for long-term bonds are thwarted by various data problems. These data problems can be avoided by focusing on short investments in long-term bonds. This paper concerns the relationship between changes in the US dollar-Deutsche Mark exchange rate and returns to short investments in US and German long-term government bonds. The hypothesis that expected returns to investments in bonds denominated in the two currencies are equal is not rejected, and the estimated slope coefficients are positive. For corresponding short-term interest rates, the typical finding of negative and large Fama coefficients is confirmed. We conclude that it is the maturity of the asset, rather than the investment horizon, that matters for the results.
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| 3. |
- Alexius, Annika, 1965-, et al.
(författare)
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Exchange Rates and Long-term Bonds
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Ingår i: Scandinavian Journal of Economics. - 0347-0520 .- 1467-9442.
-
Tidskriftsartikel (refereegranskat)abstract
- Tentative evidence suggests that the empirical failure of uncovered interest parity (UIP) is con fi ned to short-term interest rates. Tests of UIP for long-term interest rates are however hampered by various data problems. By focusing on short investments in long-term bonds, these data problems can be avoided. We study the relationship between the US dollar - Deutsch Mark exchange rate and German and American bond rates. The hypothesis that expected returns to investments in bonds denominated in the two currencies are equal cannot be rejected. This result is not simply due to low power as the β−coeffi cients are close to unity. For the corresponding short-term interest rates, the typical finding of a large and significantly negative β−coeffi cient is con firmed.
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| 4. |
- Alexius, Annika, et al.
(författare)
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Exchange rates and long-term bonds
- 2002
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Tentative evidence suggests that the empirical failure of uncovered interest parity (UIP) is confined to short-term interest rates. Tests of UIP for long-term interest rates are however hampered by various data problems. By focusing on short investments in long-term bonds, these data problems can be avoided. We study the relationship between the US dollar - Deutsch Mark exchange rate and German and American bond rates. The hypothesis that expected returns to investments in bonds denominated in the two currencies are equal cannot be rejected. This result is not simply due to low power as the ß-coefficients are close to unity. For the corresponding short-term interest rates, the typical finding of a large and significantly negative ß-coefficient is confirmed.
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| 5. |
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| 6. |
- Bentzen, Eric, et al.
(författare)
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The Intertemporal Capital Asset Pricing Model with Returns that follow Poisson Jump-Diffusion Processes
- 1992
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The capital market equilibrium is derived in a model where asset returns follow a mixed Poisson jump-diffusion process, rather than a simple diffusion process as in the traditional ICAPM. In the resulting JCAPM (CAPM with Jumps) expected returns are still linear in beta, but in addition premia have to be paid for jump risk. When jump risk is diversifiable in the market portfolio the JCAPM reduces to the standard ICAPM, as in Jarrow and Rosenfeld (1984). Jumps are found to be prevalent in the daily returns of the market indices in the 18 countries investigated, during the time period 1985-89. However, when the year of the crash, 1987, is excluded from the sample, the simple diffusion process gives an adequate description of the market returns in seven countries.
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| 7. |
- Dahlquist, Magnus, et al.
(författare)
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Seasonalities in Swedish Stock Returns : Why are they Not Arbitraged Away?
- 1994
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper exmines two potential explanations of the so called January effect in the Swedish stock market for the period January 1919 to December 1989; the tax loss selling hypothesis and the omitted risk factor hypothesis. We document significantly higher returns in both January and July over the sample period. In addition, there is a seasonal pattern in the variances of the monthly returns. There seem to be an interaction between the variance and the mean effects. However, we find no support for either of the proposed hypotheses.
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| 8. |
- Derevianko, A, et al.
(författare)
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Electric-octupole and pure-electric-quadrupole effects in soft-X-ray photoemission
- 2000
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Ingår i: Physical Review Letters. - 0031-9007. ; 84:10, s. 2116-2119
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Tidskriftsartikel (refereegranskat)abstract
- Second-order [O(k(2)), k = omega/c] nondipole effects in soft-x-ray photoemission are demonstrated via an experimental and a theoretical study of angular distributions of neon valence photoelectrons in the 100-1200 eV photon-energy range. A newly derived theoretical expression for nondipolar angular distributions characterizes the second-order effects using four new parameters with primary contributions from pure-quadrupole and octupole-dipole interference terms;Independent-particle calculations of these parameters account for a significant portion of the existing discrepancy between experiment and theory for Ne 2p first-order nondipole parameters.
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| 9. |
- Dias, E.W.B, et al.
(författare)
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Breakdown of the independent particle approximation in high-energy photoionization
- 1997
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Ingår i: Physical Review Letters. - 0031-9007. ; 78:24, s. 4553-4556
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Tidskriftsartikel (refereegranskat)abstract
- The independent particle approximation is shown to break down for the photoionization of both inner and outer nl (l > 0) electrons of all atoms, at high enough energy, owing to interchannel interactions with the nearby ns photoionization channels. The effect is illustrated for Ne 2p in the 1 keV photon energy range through a comparison of theory and experiment. The implications for x-ray photoelectron spectroscopy of molecules and condensed matter are discussed.
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| 10. |
- Hemmers, O, et al.
(författare)
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Beyond the dipole approximation: angular-distribution effects in valence photoemission
- 1997
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Ingår i: Journal of Physics B: Atomic, Molecular and Optical Physics. - 0953-4075. ; 30:21, s. L727-L733
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Tidskriftsartikel (refereegranskat)abstract
- Angular distributions of valence photoelectrons showing effects due to highermultipole photon interactions have been measured for the first time. Neon 2s and 2p photoemission exhibits effects beyond the dipole approximation throughout the 250 to 1200 eV photon-energy range studied. The results suggest that any photoemission experiment, on any sample, can be affected at relatively low photon energies, pointing to a general need for caution in interpreting angle-resolved-photoemission measurements.
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