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DTSTART:20251016T123000
DTEND:20251016T134500
DTSTAMP:20260419T065400
SUMMARY:DF Lunch Seminar with Jonathan E. Payne (Princeton University)
DESCRIPTION:“The Historical US Funding Advantage Since 1860”\n\nWith the Lunch Seminar series, the Department of Finance is bringing eminent and up-and-coming researchers from around the world to Luxembourg.\n\nAbstract\n\nWe provide the first consistent historical estimate of US Treasury funding advantage, as measured by term structures of yield spreads between comparable highest-grade US corporate bonds and Treasurys. We construct a new dataset with monthly prices, cash-flows, and ratings for US corporate bonds over 1860-2024. We adjust yield curve estimation techniques to account for tax treatments and embedded options. Existing index-based spreads have mismeasured US funding advantage on long-term bonds in the post-WWI period, particularly during high inflation episodes. An asset pricing model for US funding advantage finds that standard risk factors, not quantity changes, explain most variation in spreads.\n\nAbout the speaker\n\nJonathan Payne is an Assistant Professor in the Bendheim Center for Finance in the Department of Economics at Princeton University. He completed his Ph.D. at New York University.\n\nHis research studies questions in finance, banking, macroeconomics, economic history, computational economics and econometrics.\n\nLanguage\n\nEnglish.\n\nThis is a free event. Registration is mandatory.\n\nCold lunches are provided to registered participants only.\n\nLocation: https://www.uni.lu/en/about/campuses/kirchberg-campus/\nRead more: https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-jonathan-e-payne-princeton-university/
UID:UL-21449
LOCATION:Kirchberg Campus 6 - rue Richard Couden­­­hove-Kalergi 1359 Luxembourg Luxembourg
URL:https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-jonathan-e-payne-princeton-university/
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