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The Globalization Risk Premium
The Journal of Finance, 2019ABSTRACTIn this paper, we investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7% risk premium, suggesting that their cash flows covary negatively with investors' marginal utility.
Jean-Noel Barrot +2 more
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SECULAR TRENDS IN RISK PREMIUMS
The Journal of Finance, 1972THIS PAPER CONSIDERS how risk premiums on investments are likely to change over time. The analysis is based upon results derived by Sharpe, Lintner and others [2, 5, 6, 9, 11] for equilibrium in the market for risk assets. To simplify the analysis it is assumed all physical assets are owned by firms.
Litzenberger, Robert H, Budd, A P
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Recovering the FOMC risk premium
Journal of Financial Economics, 2020The Federal Open Market Committee (FOMC) meetings are among the most important economic events. We propose a novel method to recover the FOMC risk premium and drift sizes. Empirically, we find that for the 192 meetings from 1996 to 2019, the FOMC risk premium varies across meetings, from 1 to 326 basis points (bps) with an average of 45 bps.
Hong Liu, Xiaoxiao Tang, Guofu Zhou
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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 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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Premium auctions and risk preferences
Journal of Economic Theory, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hu, A., Offerman, T., Zou, L.
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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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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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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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