Results 91 to 100 of about 435,179 (262)
The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model
Croatian Economic Survey, 2017 We use data for 24 European countries, spanning from 1994 to 2015, in order to examine how changes in macroeconomic conditions influence country risk premium volatility proxied by sovereign spreads variance.
Petra Palić +2 more
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Unbiasedness Hypothesis and Efficiency Test of Thai Stock Index Futures
SAGE Open, 2017 Theoretically, futures prices are unbiased predictors of subsequent cash prices only if a market is efficient and there is no risk premium. This research empirically tests both market efficiency hypothesis and unbiasedness of futures price hypothesis in ...
Piyapas Tharavanij
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Exchange Volatility and Risk Premium [PDF]
This paper empirically evaluates the importance of exchange rate regimes and exchange rate volatility on interest rate differentials, with special reference to Chile. We estimate risk-premia for 16 country experiences with different exchange rate regimes
Claudio Soto, Rodrigo Valdés
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Sources of Return in the Index Futures Markets
Contemporary Economics, 2011 The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market.
Adam Zaremba
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A Fiscal Theory of Sovereign Risk [PDF]
This paper presents a fiscal theory of sovereign risk and default. Under certain monetary-fiscal regimes, the risk of default, and thus the emergence of sovereign risk premia, are inevitable.
Martin Uribe
core +3 more sources
Which Will Overcome? The Productivity or Risk Premium [PDF]
International Journal of Agricultural Management and Development, 2014 Risk-averse farmers are prudent to use different inputs because every input has a distinct effect on output fluctuations and production risk as well.
Javad Shahraki, Shahram Saeedian
doaj
Regressed DCF, Real Estate Value, Discount Rate and Risk Premium Estimation. A case in Bucharest
Aestimum, 2013 Discounted Cash Flow Analysis is a method used for real estate valuation and valuation of worth. The application of DCF requires the selection of an appropriate discount rate.
Maurizio D’Amato, Ion Anghel
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Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis [PDF]
Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying risk premium ...
Armah, Stephen E.
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Variance Swaps and Intertemporal Asset Pricing [PDF]
This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to deviations
Alfonso Novales Cinca +2 more
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