Rotterdam Brown Bag Seminars in Finance

Speaker(s)
Laurens Swinkels (Erasmus University Rotterdam)
Date
Wednesday, 15 November 2017
Location
Rotterdam

We estimate the pricing performance of global asset pricing models for a sample of 41 investment grade and 22 emerging government bond markets. Our results suggest that a model with a global term, global default, dollar, and carry factor are able to price these returns. A model that replaces the default factor with a global equities factor performs slightly worse for samples with currency-hedged government bond returns.