Results 21 to 30 of about 5,574,472 (302)
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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Time-Varying Risk Attitude and Conditional Skewness
Abstract and Applied Analysis, 2014 Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the
Zhifeng Liu, Tingting Zhang, Fenghua Wen
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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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Required Market Risk Premium among countries in 2012
Journal of Finance and Data Science, 2015 This paper contains the statistics of the Equity Premium or Market Risk Premium (MRP) used in 2012 for 82 countries. We got 7192 answers for 93 countries, but we only report the results for 82 countries with more than 5 answers.
Pablo Fernandez +2 more
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Wage Risk and the Skill Premium [PDF]
The Economic Journal, 2017 Abstract The skill premium has increased significantly in the United States in the last five decades. During the same period, individual wage risk has also increased. This paper proposes a mechanism through which a rise in wage risk increases the skill premium.
Slavik, Ctirad, Yazici, Hakki
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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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Barekeng, 2023 High-intensity rainfall is one of the factors that can interfere with the state of agriculture. Agricultural insurance is an insurance that can be used to reduce risks related to agricultural losses such as rice production.
Geby Marola +2 more
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Downside Variance Risk Premium [PDF]
SSRN Electronic Journal, 2015 We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk ...
Bruno Feunou +2 more
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