Yaniv Konchitchki

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There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Interest rate options may contain information about this risk premium because their prices are sensitive to the volatility and market prices of the risk factors that drive interest rates. We use the joint time series of swap rates and interest rate cap(More)
In this paper I show that, with sufficient flexibility in the covariance structure of the risk factors and the market prices of these risks, a low-dimensional term structure model can simultaneously price bonds and related options. I find that a component of volatility risk largely unrelated to the shape of the yield curve is a determinant of expected(More)
Prior studies document that aggregate earnings news is related to news about future inflation. We propose two alternative explanations for this relation-one based on firm's changing their investments in response to profitability shocks and the other based on consumers varying their consumption in response to higher disposable income or greater wealth(More)
a r t i c l e i n f o Keywords: Knowledge management MAKE award winners Market study Delphi method Asset pricing Capital markets Stock valuation Researchers have used the stock price reaction to firms' disclosures of investment in information technology to investigate the value of those investments. This paper extends that research to include knowledge(More)
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