Results 11 to 20 of about 7,235,641 (360)
Are Country and Size Risks Priced in the Brazilian Stock Market? [PDF]
BAR: Brazilian Administration Review, 2017 When estimating a firm’s cost of equity for valuation and other purposes in emerging markets without (or with only partial) capital market integration, many practitioners include a premium for country risk.
Antonio Zoratto Sanvicente +2 more
doaj +1 more source
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
doaj +1 more source
Risk Premium Shocks Can Create Inefficient Recessions
The Review of Economic Studies, 2020 We develop a simple flexible-price model of business cycles driven by spikes in risk premiums. Aggregate shocks increase firms’ uninsurable idiosyncratic risk and raise risk premiums.
Sebastian Di Tella, R. Hall
semanticscholar +1 more source
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
openaire +1 more source
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
openaire +2 more sources
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
doaj +1 more source
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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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
doaj +1 more source
Research on the Factors Affecting the Risk Premium of China’s Green Bond Issuance
Sustainability, 2019 Green bonds have both “bond” and “green” attributes and are one of the important financing tools for green financial markets. The green bond risk premium directly reflects the financing cost of bond issuers and the capital gains of investors.
Qinghua Wang +3 more
semanticscholar +1 more source