Results 11 to 20 of about 435,179 (262)
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
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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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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Studies in Economics and Econometrics, 2002 A perspective is given on the dynamic nature, reliability, and the estimation of the market risk premium, as well as some implications concerning its current level. The analysis is based on a data set spanning some 76 years. An historical ?best estimate? of 7,5 percent is suggested for practical use.
Firer, Colin, Bradfield, David J
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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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Testing The Indonesian Stock Market Arbitrage Pricing Model
Jurnal Manajemen, 2023 This research aims to explain the return and risk premium using an APT model from the Indonesian stock market. The study uses a two-stage regression model. This study uses a sample of stocks included in the Kompas100 index.
Wawan Ichwanudin, Roni Kambara
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Cyber Insurance Premium Setting for Multi-Site Companies under Risk Correlation
Risks, 2023 Correlation in cyber risk represents an additional source of concern for utility and industrial infrastructures, where risks may be introduced by connected systems. A major means of reducing risk is to transfer it through insurance.
Loretta Mastroeni +2 more
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Methodology of calculating risk premiums in the environment of the Czech Republic and its comparison with Damodaran [PDF]
SHS Web of Conferences, 2021 Investors' decisions are largely influenced by the riskiness of the country. Several different approaches are available to calculate this risk, but even so, the values set by Damodaran are usually used, even for non-US states.
Kucera Jiri, Maskova Lenka
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