Results 51 to 60 of about 435,179 (262)
Estimando o Prêmio de Mercado Brasileiro [PDF]
RAC: Revista de Administração Contemporânea, 2011 Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium.
Luciana Ribeiro Chalela +3 more
doaj
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 Long-term Relationship Between Monetary Policy, Exchange Rate and the Risk Premium in Mexico (2003-2018) The objective of this research is to study the long-run relationships between monetary policy, the exchange rate, and the risk premium in the ...
Judith Jazmin Castro Pérez +2 more
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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
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Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro
International Journal of Financial Studies, 2016 In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro.
Muhsin Kar, Tayfur Bayat, Selim Kayhan
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Equity Premium Puzzle and Bubble Risk and Epstein- Zin Recursive Preferences Function in Iran’s Securities Market [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2017 The present study aims to interpret equity premium puzzle based on the bubble risk approach in Iran’s securities market for the period 1996:09-2016:10.
Madjid Hatefi Madjumerd +2 more
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(WP 2011-06) Do Stock Market Risk Premium Respond to Consumer Confidence? [PDF]
, 2011 During the 2007-9 Great Recession, the risk premium associated with U.S. stocks sharply increased and has since remained significantly higher compared to its range during the last 40 years. The increase in the equity risk premium has led many analysts to
Chowdhury, Abdur
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Liquidity Risk and the Beta Premium
SSRN Electronic Journal, 2019 AbstractAs opposed to the “low beta low risk” convention, we show that low beta stocks are illiquid and exposed to high liquidity risk. After adjusting for liquidity risk, low beta stocks no longer outperform high beta stocks. Although investors who “bet against beta” earn a significant beta premium under the Fama–French three‐ or five‐factor models ...
Cynthia M. Gong, Di Luo, Huainan Zhao
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Why Do Emerging Economies Borrow Short Term? [PDF]
We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and ...
Fernando A. Broner +2 more
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Fair trade in insurance industry: Premium determination of Taiwan automobile insurance [PDF]
, 2007 This paper examines premium determination of voluntary automobile insurance policy and risk classification under a heavily regulated rating system in Taiwan. We investigate the distribution of actual premium and pure premium, based on unique data to test
Li, Chu-Shiu +3 more
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Global Bond Risk Premiums [PDF]
SSRN Electronic Journal, 2011 This paper examines time-varying measures of term premiums across ten developed economies. It shows that a single factor accounts for most of the variation in expected excess returns over time, across the maturity spectrum, and across countries. I construct a global return forecasting factor that is a GDP-weighted average of each country’s local return
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