Tags Collateral

Tag: collateral


Interest rate swap returns: empirical lessons

Interest rate swaps trade duration risk across developed and emerging markets. Since 2000 fixed rate receivers have posted positive returns in 26 of 27...

Identifying asset price bubbles

A new paper proposes a practical method for identifying asset price bubbles. First, one estimates deviations of prices from fundamentals based on three different...

Directional predictability of daily equity returns

A new empirical paper provides evidence that the direction of daily equity returns in the Dow Jones has been predictable over the past 15...