Results 181 to 190 of about 22,320 (216)
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The Journal of Portfolio Management, 2016
Expected risk premiums are not guaranteed. In this article, the author tests the existence of excess returns in stocks over bonds and in bonds over bills in 20 different countries using more than a century of data. Using an innovative technique, the author demonstrates that premiums are significant in less than half of cases.
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Expected risk premiums are not guaranteed. In this article, the author tests the existence of excess returns in stocks over bonds and in bonds over bills in 20 different countries using more than a century of data. Using an innovative technique, the author demonstrates that premiums are significant in less than half of cases.
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EXPLAINING THE EQUITY RISK PREMIUM*
The Manchester School, 2006We develop a simple overlapping generations model in which the young have a choice in investing in equities or index‐linked bonds. Projections of share price uncertainty over a 30‐year period show that the risk associated with such long‐term investments predicts an equity premium that matches historical values. Moreover, we calibrate the model and show
Lungu, Laurian, Minford, Patrick
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The Risk Premium and the Liquidity Premium in Foreign Exchange Markets
International Economic Review, 1992The forward exchange rate may include a liquidity premium as well as a risk premium. The nature of these premiums is investigated in a general equilibrium model. The more obvious point the paper makes is that the forward rate will be affected by the liquidity of financial assets.
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Optimism and the variance risk premium
Finance Research LettersWe show that market optimism from a representative agent asset pricing model with probability weighting complements and restores the variance risk premium (VRP) in predicting the equity premium. We find the VRP fails to predict stock returns in-sample and out-of-sample. However, introducing optimism derived from a NEO-EU framework along with a positive
Mehran Azimi +3 more
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Risk Theory and Insurance Premiums
Blätter der DGVFM, 1985The author's starting point is the observation first made by Adam Smith, that an insurance company must earn the same expected return on its capital, as it would if the capital was ''employed in common trade''. He points out that the actuarial risk theory is unable to deal with the problem of computing insurance premium, since this theory considers the
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Journal of Risk and Uncertainty, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Forward Premium Puzzle And Risk Premiums [PDF]
, 2012 This paper re-evaluates the forward premium puzzle using the Euro/US dollar exchange rate. Unlike previous studies, a state-space model is used to measure the significance of this puzzle by estimating the time-specific parameter. Then we provide evidence that the forward premium puzzle became more prominent around the time of the Lehman Shock, and this
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Estimating the Market Risk Premium
SSRN Electronic Journal, 1999This paper provides a methodology for estimating the market risk premium based on the underlying process governing the level of market volatility. My model provides a test for a structural shift in the historical risk premium and an unbiased estimate of its value.
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The geopolitical risk premium in the commodity futures market
Journal of Futures Markets, 2023Daxuan Cheng, Yin Liao, Zheyao Pan
exaly