Results 221 to 230 of about 32,827 (258)

Can Overreaction Explain Part of the Size Premium?

SSRN Electronic Journal, 2006
This paper uncovers several new empirical regularities in the historical returns of small stocks. First, within the sample of firms that have low market capitalizations, stocks with low past profitability ("laggers") bring returns significantly higher than those of stocks with high past profitability ("leaders").
K. Ozgur Demirtas, A. Burak Guner
openaire   +1 more source

The Size Premium in the Long Run

SSRN Electronic Journal, 2009
Contrary to the usual practice of including a size premium in a small firm's cost-of-equity estimation, this paper shows that there should not be such a premium in the long run because firm size is a changing characteristic. By tracking the return performance of firms in the same size group for a longer horizon, I find that the size premium wears off ...
openaire   +1 more source

Portfolio size as function of the premium: modelling and optimization [PDF]

Stochastics, 2013
An insurance company has a large number N of potential customers characterized by i.i.d. r.v.'s giving the arrival rates of claims. Customers are risk averse, and a customer accepts an offered premium p according to his A-value. The modelling further involves a discount rate d>r of customers, where r is the risk-free interest rate.
Asmussen, Søren, Christensen, Bent Jesper; id_orcid 0000-0001-8448-9752, Taksar, Michael I   +2 more
openaire   +2 more sources

Firm size and the political cycle premium

Managerial Finance, 2015
Purpose – The purpose of this paper is to use firm-level data to examine whether the political cycle differentially relates to small vs large firms in New Zealand; a country that operates a unicameral political system has a short three-year political term and a right-of-centre stock market premium exists.
Chris B Malone, Hamish Anderson, Peng Cheng   +2 more
openaire   +1 more source

Nature and the Size of the Risk Premium

SSRN Electronic Journal, 2006
Capital is an ability of doing work. This is abstract and homogenous category, which has its equivalent in physics as concept of energy. Therefore the second law of thermodynamics predetermines an existence and a size of the risk premium as an essential economic constant, which shapes interest and discount rates, wages and salaries, prices of goods and
openaire   +1 more source

The Establishment-Size Wage Premium in Greece

SSRN Electronic Journal, 2010
In this paper we examine the establishment-size wage premium in Greece using a matched employee-employer dataset. The results of the econometric estimation suggest that indeed such a premium is present in the Greek market sector, too. Its magnitude is in line with those reported in other economies.
Joan Daouli, Michael Demoussis, Nicholas Giannakopoulos, Ioannis Laliotis   +3 more
openaire   +1 more source

Government size and risk premium

WIDER Working Paper
Given the rise in the government debt level in recent times, this paper aims to examine the effect of an increase in government size on risk premium and its transmission in the economy. We jointly identify the term spread shock (originating at the short end and the long end) and the government size shock, using max share identification.
Kumar, Abhishek, Mallick, Sushanta Kumar
openaire   +2 more sources

Timing the size risk premium

2019
NEOMA Business School a accueilli les 11 et 12 avril sur le campus de Reims la cinquième édition de l’Inter-Business Schools Finance Seminar. Cette conférence a réuni des professeurs des départements de Finance d’EM LYON, ESCP, ESSEC, GRENOBLE EM, HEC, NEOMA BS, TOULOUSE BS et UNIVERSITE PARIS-DAUPHINE. L’objectif est de servir de plate-forme d’échange
Darolles, Serge, Le Fol, Gaëlle, Mero, Gulten   +2 more
openaire   +1 more source

Unobserved human capital and firm-sized premium [PDF]

, 2000
Tutkimus tarkastelee palkanmuodostusta ja työvoiman liikkuvuutta erikokoisissa yrityksissä Suomessa yhdistetyssä yritys-työntekijä aineistossa ajanjaksolla 1989-1996. Ei-havaittava inhimillinen pääoma kasvaa yrityskoon mukaan ja on merkittävin selittäjä suurten yritysten korkeammille palkoille.
openaire   +1 more source

Predicting Premiums for the Market, Size, Value, and Momentum Factors

SSRN Electronic Journal, 2009
This paper studies the out-of-sample predictability of the monthly market as well as size, value, and momentum premiums. We use a sample from each the US and the Swiss stock market between 1989 and 2007. Our Swiss sample provides an important new perspective as the repeated evaluation of the same (US-) dataset leads to the problem of data mining.
openaire   +1 more source