Long forward probabilities, recovery, and the term structure of bond risk premiums
This paper examines the assumption of transition independence of the stochastic discount factor (SDF) in the bond market. This assumption underlies the recovery result of Ross 2015. Following the methodology of Alvarez and Jermann 2005 and Hansen and Scheinkman 2009, we estimate the martingale compo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Oxford University Press
2018
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| Online Access: | View Fulltext in Publisher |