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Explaining risk premia on bonds and equities

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Author Info

  • Mike Kennedy
  • Torsten Sløk

Abstract

Between 2002 and early 2005 risk premia for a number of asset classes across broad geographical areas not only fell substantially but also tended to move more closely together than they had done historically. This raises the question to what extent this apparent reduced investor discrimination across asset classes went beyond what can be accounted for by market-specific developments. In particular, the reduced discrimination among asset classes could suggest that factors other than market- or country-specific events have played a role in narrowing risk premia.

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File URL: http://dx.doi.org/10.1787/eco_studies-v2005-art5-en
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Bibliographic Info

Article provided by OECD Publishing in its journal OECD Economic Studies.

Volume (Year): 2005 (2005)
Issue (Month): 1 ()
Pages: 111-125

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Handle: RePEc:oec:ecokaa:5l9vc3q2bt30

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Cited by:
  1. Kennedy, Mike & Palerm, Angel, 2014. "Emerging market bond spreads: The role of global and domestic factors from 2002 to 2011," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 70-87.
  2. Christophe André, 2010. "A Bird's Eye View of OECD Housing Markets," OECD Economics Department Working Papers 746, OECD Publishing.

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