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Fiscal tensions and risk premium. [PDF]
Empirica (Dordr), 2022 The main goal of the paper is to analyse one-dimensional, isolated impact of particular variables which are used in the literature as explanatory variables for risk premium following fiscal tensions. Using Student's t-tests, supplemented with ANOVA analysis, we study about a hundred likely determinants of the risk premium in 22 OECD countries over 1978-
Ciżkowicz P, Parosa G, Rzońca A.
europepmc +3 more sources
Downside Variance Risk Premium [PDF]
SSRN Electronic Journal, 2015 We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk ...
Bruno Feunou +2 more
semanticscholar +3 more sources
The Review of Financial Studies, 2023 Abstract We study a large currency cross-section using asset pricing methods that account for omitted-variable and measurement-error biases. First, we show that the pricing kernel includes at least three latent factors that resemble (but are not identical to) a strong U.S.
Nucera, F, Sarno, L, Zinna, G
openaire +2 more sources
Revista Finanzas y Política Económica, 2021 Currently, there is no agreed method to estimate the Risk Premium accurately, therefore, different authors arrive at significantly different results when calculating the risk premium for a given country or industry.
Zocimo Campos +2 more
doaj +1 more source
The Effect of the Level of Firm Growth Rate on the Influence of Information Disclosure on Stock Risk Premium [PDF]
بررسیهای حسابداری و حسابرسی, 2020 Objective: The purpose of this study is to investigate the effect of the level of firm growth rate on the relationship between voluntary and mandatory disclosure of information and firm stock risk premium.
Ghazal Sadeghi Yakhdani +2 more
doaj +1 more source
Unearned premium risk and machine learning techniques
Frontiers in Applied Mathematics and Statistics, 2022 Insurance companies typically divide premiums into earned and unearned premiums. Unearned premium is the portion of premium that is allocated for the remaining period of a policy or premium that still needs to be earned.
Vajira Manathunga, Danlei Zhu
doaj +1 more source
Complexity, 2022 This study investigates the volatility risk premium on the emerging financial market. We also consider the expected return and ESG sentiment. Based on the SSE 50 ETF 5-minute high-frequency spots and daily options data from 2016 to 2021, we adopt ...
Zhaohua Liu +4 more
doaj +1 more source
International Journal of Financial Studies, 2021 The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model.
Hira Aftab, A. B. M. Rabiul Alam Beg
doaj +1 more source
Sovereign Bond Risk Premiums [PDF]
SSRN Electronic Journal, 2013 Credit risk has become an important factor driving government bond returns. We therefore introduce an asset pricing model which exploits information contained in both forward interest rates and forward CDS spreads. Our empirical analysis covers euro-zone countries with German government bonds as credit risk-free assets.
Dockner, Engelbert J. +2 more
openaire +5 more sources
The Variance Risk Premium in Equilibrium Models
Social Science Research Network, 2020 The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows only moderate persistence.
G. Bekaert +2 more
semanticscholar +1 more source