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Management Sciences
Cyber risk is an important emerging source of risk in the economy. To estimate its impact on the asset market, we use machine learning techniques to develop a firm-level measure of cyber risk.
Hao Jiang +3 more
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Cyber risk is an important emerging source of risk in the economy. To estimate its impact on the asset market, we use machine learning techniques to develop a firm-level measure of cyber risk.
Hao Jiang +3 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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Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options
Journal of Finance, 2016A recent literature suggests that uncertainty about future stock lending fees is an impediment to short-selling and this risk explains part of the returns to shorting. However, an investor can use the option market to establish a synthetic short position
Dmitriy Muravyev +2 more
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Social Science Research Network, 2021
This paper studies the asset pricing implications of industrial pollution. A long-short portfolio constructed from firms with high versus low toxic emission intensity within industry generates an average return of 4.42% per annum, which remains ...
Po-Hsuan Hsu, Kai Li, Chi-yang Tsou
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This paper studies the asset pricing implications of industrial pollution. A long-short portfolio constructed from firms with high versus low toxic emission intensity within industry generates an average return of 4.42% per annum, which remains ...
Po-Hsuan Hsu, Kai Li, Chi-yang Tsou
semanticscholar +1 more source
North American Actuarial Journal, 2004
Abstract The equity risk premium (ERP) is an essential building block of the market value of risk. In theory, the collective action of all investors results in an equilibrium expectation for the return on the market portfolio excess of the risk-free return, the ERP. The ability of the valuation actuary to choose a sensible value for the ERP, whether as
Richard A. Derrig, Elisha D. Orr
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Abstract The equity risk premium (ERP) is an essential building block of the market value of risk. In theory, the collective action of all investors results in an equilibrium expectation for the return on the market portfolio excess of the risk-free return, the ERP. The ability of the valuation actuary to choose a sensible value for the ERP, whether as
Richard A. Derrig, Elisha D. Orr
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2021
The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
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The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
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Theory and Decision, 1987
This paper develops characterizations of a risk premium and of the relation ''more risk averse'', for multi-dimensional problems where the agent is exposed to an insurable and an uninsurable risk. We generalize and inter-relate results of several authors in deriving a local ordering of the risk aversion of agents with differing ordinal preferences.
Ambarish, R., Kallberg, J. G.
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This paper develops characterizations of a risk premium and of the relation ''more risk averse'', for multi-dimensional problems where the agent is exposed to an insurable and an uninsurable risk. We generalize and inter-relate results of several authors in deriving a local ordering of the risk aversion of agents with differing ordinal preferences.
Ambarish, R., Kallberg, J. G.
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Review of Financial Studies, 2008
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.
Peter Carr, Liuren Wu
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We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.
Peter Carr, Liuren Wu
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The Journal of Financial and Quantitative Analysis, 1978
The certainty-equivalent method of evaluating risky investments has been widely discussed in the literature ([2], [5], [14, p. 356], [19], [20]) and consists of applying a multiplicative factor, α t , to each period's expected cash flow, μ t , to produce a certainty-equivalent flow, α t μ t .
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The certainty-equivalent method of evaluating risky investments has been widely discussed in the literature ([2], [5], [14, p. 356], [19], [20]) and consists of applying a multiplicative factor, α t , to each period's expected cash flow, μ t , to produce a certainty-equivalent flow, α t μ t .
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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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