Results 21 to 30 of about 4,376 (259)

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

Modeling equity risk premium in emerging and developing economies: do financial globalization and financial sector development have explanatory power?

Cogent Economics & Finance
A significant body of literature has examined the role of traditional macroeconomic and institutional factors in determining the equity risk premium.
Josua O. Oluwafemi Akinyemi, Akintola Owolabi   +1 more
doaj   +1 more source

Equity risk premium and insecure property rights [PDF]

Economic Theory Bulletin, 2014
How much of the equity risk premium puzzle can be attributed to the insecure property rights of shareholders? This paper develops a version of the CCAPM with insecure property rights (stochastic taxes). The model implies that the current expected equity premium can be reconciled with a coefficient of relative risk aversion of 3.76, thus resolving a ...
openaire   +3 more sources

Risk Premium for Loss of Employment in Polish Regions

Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej, 2016
On the basis of the income-based valuation method of intellectual capital of the region in the previous papers, the author discovers a need for a valuation of the risk premium which should be included in the rate that discounts income from work ...
Jan Ostoj
doaj   +12 more sources

Out-of-Sample Predictability of the Equity Risk Premium

Mathematics
A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. Acknowledging the different predictability of the equity premium in expansions and recessions, this paper proposes an approach that combines ...
Daniel de Almeida, Ana-Maria Fuertes, Luiz Koodi Hotta   +2 more
doaj   +1 more source

Ex-ante equity risk premia: Expectational estimates using stock market returns forecasts in the emerging equity market [PDF]

Panoeconomicus, 2018
We estimated the ex-ante equity risk premium for the Republic of Macedonia, which is a young, small and open emerging market. We polled academics and practitioners for their expectations on the stock market index MBI10 as a proxy for market portfolio ...
Naumoski Aleksandar, Nestorovski Metodija   +1 more
doaj   +1 more source

The Equity Risk Premium: A Review of Models [PDF]

SSRN Electronic Journal, 2015
We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels — of around 12 percent — not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.
Duarte, Fernando M., Rosa, Carlo
openaire   +3 more sources

Staging an Experience of Cultural Heritage Preservation: Consumers' Willingness to Pay for Heirloom Rice in the Philippines

Agribusiness, EarlyView.
ABSTRACT The Cordillera Administrative Region in the Philippines is home to terraced rice embedded in centuries of cultural heritage. However, weak market incentives threaten sustained production, jeopardizing indigenous communities' cultural heritage and the in situ biodiversity of rice genetic resources.
Kofi Britwum, Matty Demont
wiley   +1 more source

Temperature Changes & The Cost of Equity Capital; Evidence from Tracking Portfolio Approach [PDF]

فصلنامه بورس اوراق بهادار
Temperature Changes & The Cost of Equity Capital; Evidence from Tracking Portfolio Approach AbstractTemperature fluctuations resulting from climate change can be considered as one of the factors causing uncertainty, causing investors to worry about their
Maryam Davallou, Maryam amouei
doaj   +1 more source

Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?

Agribusiness, EarlyView.
ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
wiley   +1 more source