Results 11 to 20 of about 186,334 (300)
, 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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SSRN Electronic Journal, 2021 ABSTRACT We develop a unified theory of blockholder governance and the voting premium in a setting without takeovers or controlling shareholders. A voting premium emerges when a minority blockholder can influence shareholder composition by accumulating votes and buying shares from dissenting shareholders.
Levit, Doron +2 more
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IMF Working Papers, 2015 We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a “default premium” (DP) that is consistent with asymmetric information models and nests previous metrics, and applies it to a much broader ...
Luis Catão, Rui Mano
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The Irreversibility Premium [PDF]
SSRN Electronic Journal, 2008 Abstract When investment is irreversible, theory suggests that firms will be “reluctant to invest.” This reluctance creates a wedge between the discount rate guiding investment decisions and the standard Jorgensonian user cost (adjusted for risk). We use the intertemporal tradeoff between benefits and costs of changing the capital stock to estimate ...
Robert S. Chirinko, Huntley Schaller
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The Collateralizability Premium [PDF]
SSRN Electronic Journal, 2017 Abstract A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. Theory suggests a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints insures against aggregate shocks and commands a lower ...
Ai, Hengjie +3 more
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SSRN Electronic Journal, 2014 Abstract In this paper, we consider conditional measures of lead-lag relations between aggregate growth and industry-level cash flow growth in the United States. Our results show that firms in leading industries pay an average annualized return 3.6$\%$ higher than that of firms in lagging industries.
Croce, Mariano M. +2 more
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Variance Risk Premiums and the Forward Premium Puzzle [PDF]
SSRN Electronic Journal, 2012 This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock ...
Juan M. Londono, Hao Zhou
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Is the Term Premium a Risk Premium?
Review of Quantitative Finance and Accounting, 1999 This paper explores whether excess holding period returns on long vis-a-vis short-term securities behave in a manner that is consistent with (1) market efficiency, (2) the time-varying-term-premium variant of the expectations hypothesis, and (3) theories of the term premium that view it as a reward for risk bearing. Both traditional and modern theories
Ederington, Louis H., GOH, Jeremy C.
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Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty [PDF]
Review of Finance, 2009 Abstract Structural or no-arbitrage asset-pricing models emphasize risk factors that cannot be observed directly. We show that the term structure of risk implicit in option prices can reveal these risk factors. Empirically, the variance term structure reveals two predictors of the bond premium, the equity premium, and the variance ...
Feunou, Bruno +3 more
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Operationalising luxury in the premium automotive industry [PDF]
, 2010 This thesis presents an Action Research project investigating the use of customers’ perceptions of premium and luxury cars within the premium automotive industry.
Bridle, Bernadette
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