Risk premium
The implied equity risk premium an evaluation of empirical methods
... equity premium is essentially unobservable, it is also one of the most disputed concepts in ...market risk premium by calculating the so-called implied ERP with the help of present value (PV) ...
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Default risk premium in credit and equity markets
... (Default Risk Premium) correlation between the high and the low risk premium firms is positive and very significant, and the difference in the CDS-DRP correlation between the high and the low ...
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The Importance of the Volatility Risk Premium for Volatility Forecasting
... the errors reported for different markets are of the same order of magnitude. Again, this loss function leads to a ranking similar to the one emanating from Panel A. Specifically, MFIV and RMFIV outperform ATM IV and all ...
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Essays on Stock Market Liquidity and Liquidity Risk Premium
... As discussed in the literature review, behavioral biases might help to resolve the liquidity risk puzzle. For instance, our previous analysis of market conditions suggests that investors are not strongly averse to ...
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Certainty equivalent, risk premium and asset pricing
... systematic risk but also the non-systematic ...the risk premium and the risk-adjusted discount rate decrease with the increase of the number of the investment (holding) ...
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Variance Risk Premium Differentials and Foreign Exchange Returns
... In both the two country setting and the multilateral world, exchange rate returns are function of both consumption volatility and variance risk premium differentials across countries. Several studies find ...
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ESTIMATING EQUITY RISK PREMIUM: THE CASE OF GREATER CHINA
... estimated risk premium can vary significantly from year to ...realized risk premium for each year over the estimation period for all the markets in Greater China and present the results in ...
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Estimating the Equity Risk Premium for Economies in the Asian Region
... the risk appetite of the members of that ...the risk preferences of individuals, save that they regard risk as ...that risk preferences of individuals remain constant over time, or are the ...
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Nonlinear dynamics in a model of financial development with a risk premium
... a risk premium over the international interest rate as the centre piece of the explanation for the occurrence of endogenous business cycles, under particular levels of financial ...The risk ...
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What Explains The Equity Risk Premium In ASEAN Countries?
... This paper aims to mainly investigate the impact of the selected macroeconomic variables such as inflation (INF), gross domestic product (GDP), foreign direct investment (FDI) and stocks traded turn-over ratio (STTR) on ...
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The Skew Risk Premium in the Equity Index Market
... priced risk factors in cross-section of stock ...in risk premium measurement, Section B contains proofs of propositions not included in the main text, and Section C contains robustness ...
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From the decompositions of a stopping time to risk premium decompositions*
... event risk premium, which measures the compensation investors should require for the losses that occur at the default time; this turns out to be strictly positive when the default time is totally ...
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Time Varying Exchange Rate Risk Premium
... the risk premium is analyzed within the free float- ing exchange rate ...the risk premium on the controlled floating exchange rate ...the risk premium liquidity ...
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Country Specific Risk Premium, Taylor Rules, and Exchange Rates
... country-specific risk premium, thereby causing an increase in the nominal interest rate faced by the small open ...the risk-adjusted interest rate parity condition, there must be an increase in the ...
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Risk Premium, Interest Rate Differential, and Subsidized Lending in Pakistan
... higher risk premium, whether corporate firms substitute their market loans with the subsidized loans, we made following assumptions for our baseline models; a) corporate firms do not utilize bank borrowing ...
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Country Specific Risk Premium, Taylor Rules, and Exchange Rates
... debt accumulation over time, hence leading to an increase in the country-specific risk premium. This makes the interest rate on foreign debt rise. Ceteris paribus , international parity conditions precluding ...
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Common factors of the exchange risk premium in emerging European markets
... exchange risk premium is stationary for these countries, and indicates the UIRP holds in the ...stationary risk premium and structural breaks are frequently cited as leading to evidence of ...
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The Risk Premium of Treasury Bonds in China
... In summary, there seem a lot of macro variables which can be used as factors in Macro Dynamic Term Struc- ture Model, but it seems that they don’t contain so much macro information predicting the excess return. And the ...
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Global Variance Risk Premium and Forex Return Predictability
... a risk aversion greater than one and Epstein–Zin preferences for early resolution of the uncertainty generate time-varying VRPs (Drechsler and Yaron (2011); Bollerslev et ...
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Volatility Forecasting and Volatility Risk Premium
... After empirical research with different models in the American S & P500 index option market, we found that, as a result of the model-free implied volatility method not relying on the option pricing model and ...
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