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SUMMARY:Pricing and Constructing International Government Bond Portfolios
DTSTART:20220517T120000
DTEND:20220517T130000
DTSTAMP:20260502T134824Z
UID:d3005d1316a9442767450cf9e06c3bc696df13bcd4e4b6b37dac7e65
CATEGORIES:Conferences - Seminars
DESCRIPTION:Otto Randl\, Vienna University of Economics and Business\nThis
  paper documents that even naïve cross-market diversification strategies 
 lead to substantial improvements of risk-return relations of government bo
 nd portfolios. Motivated by this finding\, we derive a global stochastic d
 iscount factor\, which prices excess returns of individual bond markets an
 d international bond portfolio strategies. The SDF is supported by standar
 d validation tests\, but the fraction of unpriced components of bond retur
 ns is high\, at around 50%. Hedging internationally diversified bond portf
 olios against these unpriced risks improves portfolio performance substant
 ially. The performance improvements are robust\, even when conservative bo
 unds on individual market weights are imposed. We find that the SDF cannot
  be explained by the principal components derived from bond returns.\n\nPa
 per
LOCATION:UniL Campus\, Extra 126
STATUS:CONFIRMED
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