ML-QuantSubscribe

RePEcAsset Pricing & Factors

Rate Risk and Rate Insurance

Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure.

Read the paper PDF
View as MarkdownOpen in ClaudeOpen in ChatGPTOpen in PerplexitySite index for AI (llms.txt)

Featured in No. 132 on 25 Sep 2026 · 12 days after release

Rate insurance effect comparing corporate bonds and equities across duration periods 1988-2019.
Figure 2: Rate insurance in corporate bonds and equities. The vertical axis is the monthly coeffi- cient on each asset’s matched Treasury return divided by duration. Equity duration is estimated from the full FOMC sample; corporate bond duration is the subperiod mean reported by Binsber- gen et al.…
Released
13 Sep 2026
First featured
No. 132 · 25 Sep 2026
Published in
Not yet, as far as Semantic Scholar knows
Fanfare
3 of 5
Identifier
RePEc:nbr:nberwo:35636
Authors
Olivier Wang

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page