Results 11 to 20 of about 7,938,088 (271)
, 2004 Recent research on the equity risk premium has questioned the ability of historical estimates of the risk premium to provide reliable estimates of the expected risk premium.
Mase, B, Kyriacou, K, Madsen, J
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Exchange Markets and Stock Markets Integration in Latin-America
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2022 We analyze the relationship between the exchange markets and the integration process of the Latin American stock markets (MILA), focusing the analysis on two points.
Jorge Andrés Muñoz Mendoza +4 more
doaj +1 more source
The implied equity risk premium - an evaluation of empirical methods [PDF]
, 2007 A new approach of estimating a forward-looking equity risk premium (ERP) is to calculate an implied risk premium using present value (PV) formulas. This paper compares implied risk premia obtained from different PV models and evaluates them by analyzing ...
Schröder, David
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Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime [PDF]
SSRN Electronic Journal, 2020 We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation from 1971 to 2000 and the positive one after 2000, and (3 ...
Li, Erica X. N. +3 more
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On a discrete-time risk model with claim correlated premiums [PDF]
Annals of Actuarial Science, 2015 AbstractThis paper proposes a discrete-time risk model that has a certain type of correlation between premiums and claim amounts. It is motivated by the well-known bonus-malus system (also known as the no claims discount) in the car insurance industry.
Wu, X, Chen, M, Guo, J, Jin, C
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Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns
Mathematics, 2020 This paper develops a dispersion trading strategy based on a statistical index subsetting procedure and applies it to the S&P 500 constituents from January 2000 to December 2017.
Lucas Schneider, Johannes Stübinger
doaj +1 more source
Option-Implied Dependence and Correlation Risk Premium
Journal of Financial and Quantitative Analysis, 2020 AbstractWe propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with options on these assets and their weighted index. We implement this approach for the nine industry sectors comprising the S&P 500 index and find that their option-implied dependence is highly asymmetric and time ...
Oleg Bondarenko, Carole Bernard
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The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta [PDF]
تحقیقات مالی, 2015 The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman
Hojjatollah Bagherzadeh +1 more
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Decomposition of Natural Catastrophe Risks: Insurability Using Parametric CAT Bonds
Risks, 2021 Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed.
Morteza Tavanaie Marvi, Daniël Linders
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The Correlation Risk Premium: International Evidence
SSRN Electronic Journal, 2018 In this paper we carry out a cross-country analysis of the correlation risk premium. We examine the statistical properties of the implied and realized correlation in European equity markets and relate the resulting premium to US equity market correlation risk and a global correlation risk premium.
Kosowski, R, Goncalo, F, Wang, T
openaire +3 more sources