Results 1 to 10 of about 31,863 (167)
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 +4 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
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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
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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
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The Equity Risk Premium: A Solution? [PDF]
Journal of Monetary Economics, 1988 Abstract In ‘The Equity Risk Premium: A Puzzle’, Mehra and Prescott (1985) developed an Arrow-Debreau asset pricing model. They rejected it because it could not explain high enough equity risk premia. They concluded that only non-Arrow-Debreu models would solve this ‘puzzle’.
Mehra, Rajnish., Prescott, Edward C.
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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
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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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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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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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THE RISK PREMIUM IN THE FOREIGN EXCHANGE MARKET. THE APPLICATION OF ARCH-IN-MEAN MODEL
Quantitative Methods in Economics, 2020 Forward premium anomaly is one of the most popular puzzles in the theory of international finance. The phenomenon is explained by, among others, the existence of non-zero risk premium in the foreign exchange market. The paper applies ARCH-in-mean models
Katarzyna Czech
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