Results 11 to 20 of about 28,896 (267)
Evaluating the effect of accruals quality, investments anomaly and quality of risk on risk premium (return) of stock of listed companies in Tehran Stock Exchange [PDF]
Problems and Perspectives in Management, 2016 Nowadays, reaching to economic goals in any society requires public participation, which is only the result of people participation. Investment in stock market is one of people participation methods.
Seyed Kazem Ebrahimi +2 more
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Credit Variance Risk Premiums [PDF]
SSRN Electronic Journal, 2019 AbstractThis paper studies variance risk premiums in the credit market using a novel data set of swaptions quotes on the CDX North America Investment Grade and High‐Yield indices. The returns of credit variance swaps are negative and economically large, irrespective of the credit rating class.
Manuel Ammann, Mathis Moerke
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Bond Variance Risk Premiums [PDF]
Review of Finance, 2017 Abstract This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be perfectly replicated by a static position in Treasury futures options and a dynamic position in the underlying. Pricing and hedging is robust even in the underlying jumps.
Choi, Hoyong, Mueller, P, Vedolin, A
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Joining insured groups: how to split the emerging profit [PDF]
Insurance Markets and Companies, 2017 In the process of evaluating the premium of an insurance plan, one considers the risk arising from various uncertainties. The authors suppose for a plan whose net premium is p and the standard deviation is σ the premium including the risk factor will be ...
Elinor Mualem, Abraham Zaks
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ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA
Buletin Ekonomi Moneter dan Perbankan, 2019 The expected equity risk premium is a key input of many asset prcing models in nance. There exist a number of methods to estimate the risk premium. It is also well documented that the risk premium is time-varying.
Jie Zhu
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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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Examining the Equity Premium Puzzle in Iran: A Practical Approach Using a Dynamic Stochastic General Equilibrium Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2023 The equity premium is obtained from the difference between the return on the risky stock asset and the return on the risk-free asset; the failure of financial theory to explain high equity premium is known as the equity premium puzzle.
Sahar Zare Joneghani +3 more
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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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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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Premium adequacy risk management in non-life insurance [PDF]
Ekonomski Pogledi, 2015 The adequacy of insurance premium is vital to ensure the continuity of fulfillment the obligations of the insurance company. Factors, such as the inadequacy of models and data, the occurrence of catastrophic losses, changes in regulatory requirements and
Doganjić Jelena
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