Results 11 to 20 of about 4,376 (259)
The Fundamental Equity Premium and Ambiguity Aversion in an International Context
Risks, 2018 Stocks are riskier than bonds. This causes a risk premium for stocks. That the size of this premium, however, seems to be larger than risk aversion alone can explain the so-called “equity premium puzzle”.
Minh Hai Ngo +2 more
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ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA
Buletin Ekonomi Moneter dan Perbankan, 2019 The expected equity risk premium is a key input of many asset prcing models in nance. There exist a number of methods to estimate the risk premium. It is also well documented that the risk premium is time-varying.
Jie Zhu
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Are Country and Size Risks Priced in the Brazilian Stock Market? [PDF]
BAR: Brazilian Administration Review, 2017 When estimating a firm’s cost of equity for valuation and other purposes in emerging markets without (or with only partial) capital market integration, many practitioners include a premium for country risk.
Antonio Zoratto Sanvicente +2 more
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Sources of Return in the Index Futures Markets
Contemporary Economics, 2011 The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market.
Adam Zaremba
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The Impact of COVID-19 Shocks on Business and GDP of Global Economy
American Business Review, 2022 This study examines the relationship between COVID-19 shocks and GDP loss of different countries worldwide based on the seven scenarios of the epidemiological DSGE/CGE model of [McKibbin, W., & Fernando, R. (2020).
Reza Gharoie Ahangar, Myungsup Kim
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Does debt ceiling and government shutdown help in forecasting the us equity risk premium? [PDF]
Panoeconomicus, 2016 This article evaluates the predictability of the equity risk premium in the United States by comparing the individual and complementary predictive power of macroeconomic variables and technical indicators using a comprehensive set of 16 economic
Aye Goodness C. +2 more
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Term structure of interest rates with short-run and long-run risks
Journal of Finance and Data Science, 2022 We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S.
Olesya V. Grishchenko +2 more
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Does default risk matter for investors in REITs
International Journal of Strategic Property Management, 2020 We investigate the relationship between default risk and REIT stock returns. A default risk long-short investment strategy generates a return of 15% per annum.
Yezhou Sha +3 more
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EVALUATING R&D PREMIUM IN THE INDIAN HEALTH AND PHARMACEUTICALS INDUSTRIES
Jurnal Manajemen dan Wirausaha, 2022 The economic advantages of research and development (R&D) investment have shown conflicting results in empirical studies. This study aimed to examine a different approach, evaluating R&D premium and cross-sectional variability of equity returns, a ...
Bhumiswor Sharma, Srikanth Pyati
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Equity Market Volatility and Expected Risk Premium [PDF]
SSRN Electronic Journal, 2006 This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio. The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and does not rely critically on either realized equity returns
Long Chen, Hui Guo, Lu Zhang
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