Results 21 to 30 of about 273,667 (338)
Equity Risk Premium Puzzle: Evidence from Indonesia and Sri Lanka
Bulletin of Indonesian economic studies, 2019 This paper investigates the equity risk premium puzzle in the Indonesian and Sri Lankan stock markets in order to identify the relationship between the volatility of excess returns and the equity risk premium.
Prabath Suranga Morawakage +2 more
semanticscholar +1 more source
, 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.
Kyriacou, K, Madsen, J, Mase, B
core +1 more source
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
doaj +1 more source
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
doaj +1 more source
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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Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors
Social Science Research Network, 2017 We show that the out-of-sample forecast of the equity risk premium can be significantly improved by taking into account the frequency-domain relationship between the equity risk premium and several potential predictors.
Gonçalo Faria, Fabio Verona
semanticscholar +1 more source
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
doaj +1 more source
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 tail risk and currency risk premiums
Journal of Financial Economics, 2022 We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor.
Fan, Z., Londono, J. M., Xiao, X.
openaire +3 more sources
Journal of Political Economy, 2022 We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below −10%, but returns below −30% matter very little ...
Tyler Beason, David Schreindorfer
semanticscholar +1 more source