Results 41 to 50 of about 435,179 (262)
Explaining the Default Risk Premium Anomaly Using Two Beta Model [PDF]
Journal of Asset Management and Financing, 2019 Objective: Given some failures of the Capital Asset Pricing Model in explaining the default risk anomaly, some researchers have claimed the two-beta model, established by Campbell and Vulteenaho (2004), is functionally able to explain this peculiarity ...
Daryoosh Forooghi +2 more
doaj +1 more source
The Correlation Risk Premium: International Evidence
SSRN Electronic Journal, 2018 In this paper we carry out a cross-country analysis of the correlation risk premium. We examine the statistical properties of the implied and realized correlation in European equity markets and relate the resulting premium to US equity market correlation risk and a global correlation risk premium.
Kosowski, R, Goncalo, F, Wang, T
openaire +4 more sources
Sovereign Bond Risk Premiums [PDF]
SSRN Electronic Journal, 2013 Credit risk has become an important factor driving government bond returns. We therefore introduce an asset pricing model which exploits information contained in both forward interest rates and forward CDS spreads. Our empirical analysis covers euro-zone countries with German government bonds as credit risk-free assets.
Dockner, Engelbert J. +2 more
openaire +5 more sources
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
openaire +8 more sources
Uncertainty in Pricing and Risk Measurement of Survivor Contracts
RisksAs life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets.
Kenrick Raymond So +4 more
doaj +1 more source
Noise, Risk Premium, and Bubble [PDF]
SSRN Electronic Journal, 2011 15 ...
Grzegorz Andruszkiewicz, Dorje C. Brody
openaire +3 more sources
World Electric Vehicle JournalThis study aims to develop an optimal underwriting strategy for affordable (H1 and M1) and premium (L1 and M2) electric vehicles (EVs), balancing financial risk and sustainability commitments.
Xiaodan Lin +4 more
doaj +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
The Liquidity Premium in China’s Corporate Bond Market: A Stochastic Liquidity Discount Approach
Risks, 2022 China’s bond market has been ranked third globally; however, China’s corporate bonds are significantly less liquid than its stocks. Liquidity risk is an important component in China’s corporate bond spreads.
Xiaoping Min, Min Ji
doaj +1 more source
The Executive Turnover Risk Premium [PDF]
SSRN Electronic Journal, 2012 ABSTRACTWe establish that CEOs of companies experiencing volatile industry conditions are more likely to be dismissed. At the same time, accounting for various other factors, industry risk is unlikely to be associated with CEO compensation other than through dismissal risk.
Peters, Florian S, Wagner, Alexander F
openaire +7 more sources