Results 1 to 10 of about 22,320 (216)
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
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The risk premium of gold [PDF]
Journal of International Money and Finance, 2017 This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium and uncover important time variations in the dynamics of the risk premium. We also estimate the risk premia of the stock and bond markets and investigate their co-movements.
Nguyen, Duc Binh Benno +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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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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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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Understanding the correlation risk premium
SSRN Electronic Journal, 2023 In this paper, we provide a theoretical framework justifying the existence of a correlation risk premium in a market with two traded assets. We prove that risk-neutral dependence can differ substantially from real-world dependence by characterizing the set of risk-neutral martingale measures.
Dhaene, Jan +3 more
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Risks and Risk Premiums in Commodity Markets [PDF]
, 2022 This thesis investigates risks and risk premiums in several different commodity markets. In commodity markets risks are measured by volatility and risk premiums. Risk premiums are the additional returns required by an investor to hold a risky asset in contrast to a risk free asset, which has a zero risk premium.
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Fiscal tensions and risk premium
Empirica, 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-
Piotr Ciżkowicz +2 more
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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
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The Executive Turnover Risk Premium [PDF]
SSRN Electronic Journal, 2012 ABSTRACTWe establish that CEOs of companies experiencing volatile industry conditions are more likely to be dismissed. At the same time, accounting for various other factors, industry risk is unlikely to be associated with CEO compensation other than through dismissal risk.
Peters, Florian S, Wagner, Alexander F
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