Risk Premiums
Bond variance risk premiums
... variance risk premiums. The unconditional variance risk premiums are obtained as the unconditional average of the difference between the realized variance under the physical measure and the ...
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Properties of foreign exchange risk premiums
... To incorporate the information conveyed by MFIV, we augment the estimation pro- cedure to require that the model-implied expectation of realized variance matches MFIV for maturities of one month and three months. The ...
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Socially Responsible Investments: An International Empirical Study Of Time-Varying Risk Premiums
... Regarding Europe, conditional betas from the Dow Jones Europe Index were more aggressive (> 1 in sub periods 1 and 3) than the sustainable index (< 1 in sub period 1 and 3) over the entire period. Average ...
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The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market
... that risk premiums seem to remain other than a few cases for 2004 and 2005: (i) the five-year spread for banks between the ratings of A and AA and (ii) five- and ten-year spreads for nonfinancial corporations ...
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The Dynamics of Risk Premiums in Nord Pool's Futures Market
... This paper assumes the existence of risk premiums in the Nordic electricity markets and sets out to examine how these premiums have changed over time in Nord Pool contracts based on two [r] ...
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Properties of Foreign Exchange Risk Premiums
... exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than ...These risk premiums arise endogenously ...
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The Forward Premium Puzzle And Risk Premiums
... the risk premium, which relaxes the assumption of the CIRP about investors’ risk neutrality and introduces their risk aversion behaviors in the ...
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Competitive Premium Pricing and Cost Savings for Insurance Policy Holders: leveraging Big Data
... Some underwriting conclusions are evident from this analysis. When structuring a combined umbrella product for fully dependent risks, in very close to identical geographical space, same insured peril and line-of-business ...
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Asset pricing and predictability of stock returns in the french market
... the risk premiums on instrumental variables (dividend yield, equal weighted NYSE index return less one month Treasury bill return, default spread, term spread and nominal one month treasury bill ...
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Lee-Carter goes risk-neutral: an application to the Italian annuity market
... the risk-neutral valuation of mortality-contingent ...mortality risk-premiums accounting for dif- ferent sources of risk, in the spirit of IASB ...the risk-neutral ...specifying ...
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The Effect Of Affiliate Loan Guarantees On Cost Of Debt: Evidence From Korea
... COD is the cost of debt, which is defined as the total interest divided by the average liabilities in year t. If creditors regard loan guarantees provided to affiliates as contingent liabilities, they would demand higher ...
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Multiperiod Black Litterman Asset Allocation Model
... historical risk premium (average of the excess returns using an expanding window, starting with 5 years) and equilibrium risk premiums (expanding window starting with 5 years of data) are shown below ...
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The effect of crude oil futures price on risk premium volatilities in the futures market
... futures risk premium over time”. Haase and Zimmermann (2013) state risk premiums of commodity futures are directly re- lated to the physical scarcity of commodities and propose a simple decomposition ...
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Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
... On the other hand, Jagannathan and Wang (1996) examined the CAPM under condition where the firms’ betas vary through time in the NYSE. They found that the conditional CAPM (CCAPM) where betas are allowed to vary over ...
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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 Table ...
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The Penetration of Financial Instability in Agricultural Credit and Leveraging. Factor Markets Working Paper No. 2, September 2011
... country-specific risk premiums in the manner that they are observed in government bond ...country-specific risk premiums, the agricultural sector is not directly exposed to a very large ...
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Equity Premiums In a Small Open Economy
... substantial risk premia because agents smooth their consumption when risk aversion ...equity premiums with several percentage points can be generated (Jermann, ...which risk premiums ...
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How Do Principal Agent Effects in Delegated Portfolio Management Affect Asset Prices?
... a risk-free bond with two types of agents, fund managers and investors, both with CARA preferences – but with different final ...librium risk premiums and on the cross-section of ...
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Centre Rules the Markets
... annual risk premium in the whole sample period, the remaining countries present weak ...equity risk premium varies from ...equity risk premium, however, the facts previously reffered to, offer a ...
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Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
... certain risk-averse investors may still be attracted by this kind of financial ...higher premiums when the market is on a downward ...for risk diversification ...(wildfire) risk to the capital ...
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