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Factors Correlated with Equity Market Risk Premiums in Developed and Emerging Markets [PDF]

, 2008
This paper re-examines how three theory-suggested factors affect equity returns - specified as risk-premiums - and how the results differ between developed and emerging markets. Traditional time series or cross-sectional regression procedures have yielded inconclusive evidence on maintained hypotheses about the determinants of equity premiums. However,
Marisetty, Vijaya B., Ariff, Mohamed
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Dispersion Trading and Implied Correlation Risk Premium

SSRN Electronic Journal
Equity index options often trade at implied volatilities that exceed the weighted implied volatility of their constituent stocks. This persistent gap reflects the market's pricing of correlation risk embedded in index derivatives. Dispersion trading strategies exploit this structural inefficiency by constructing portfolios that are short index ...
openaire   +1 more source

Expected Stock Returns and the Correlation Risk Premium

SSRN Electronic Journal, 2018
Adrian Buss, Lorenzo Schoenleber, Grigory Vilkov   +2 more
openaire   +1 more source

The Correlation Risk Premium: International Evidence

Journal of Banking and Finance, 2022
Gonçalo Faria, Robert Kosowski, Tianyu Wang   +2 more
exaly  

Industry variance risk premium, cross‐industry correlation, and expected returns

Journal of Futures Markets, 2023
Yabei Zhu, Xingguo Luo, Qi Xu
exaly  

The geopolitical risk premium in the commodity futures market

Journal of Futures Markets, 2023
Daxuan Cheng, Yin Liao, Zheyao Pan
exaly  

The role of financial investors in determining the commodity futures risk premium

Journal of Futures Markets, 2020
Mohammad Isleimeyyeh
exaly  

Risk premium spillovers among stock markets: Evidence from higher-order moments

Journal of Financial Markets, 2020
Marinela Adriana Finta, Sofiane Aboura
exaly  

Interpreting the oil risk premium: Do oil price shocks matter?

Energy Economics, 2020
Matteo Manera, Alessandro Sbuelz
exaly  

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Management Science, 2014
Christopher J Neely, David E Rapach, Jun Tu   +2 more
exaly