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~person:"Gollier, Christian"
~person:"Longstaff, Francis A."
~person:"Verdelhan, Adrien"
~subject:"Risk premium"
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Risk premium
Theorie
157
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94
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91
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90
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50
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Gollier, Christian
Longstaff, Francis A.
Verdelhan, Adrien
Bekaert, Geert
60
Zhou, Hao
60
Bansal, Ravi
49
Sarno, Lucio
41
Lustig, Hanno
40
Yaron, Amir
39
Zaremba, Adam
38
Campbell, John Y.
37
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36
Bernoth, Kerstin
34
Bollerslev, Tim
34
Hördahl, Peter
33
Jacobs, Kris
33
Mehra, Rajnish
32
Veronesi, Pietro
32
Bali, Turan G.
30
Harvey, Campbell R.
29
Farhi, Emmanuel
27
Shaliastovich, Ivan
27
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27
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26
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26
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26
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26
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25
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25
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25
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24
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24
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24
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24
Almeida, Caio
23
Prokopczuk, Marcel
23
D'Amico, Stefania
22
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22
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22
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22
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1
The Market
Risk
Premium for Unsecured Consumer Credit
Risk
Fleckenstein, Matthias
;
Longstaff, Francis A.
-
2022
We use the prices of credit card asset-backed securities to study the market
risk
premium associated with unsecured … consumer credit
risk
. The consumer credit
risk
premium has historically been comparable to high yield corporate bond spreads …
Persistent link: https://www.econbiz.de/10014091102
Saved in:
2
Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian
-
2021
increasing term structure for the
risk
premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative
risk
aversion. Another important consequence of parametric uncertainty is that the …
risk
premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …
Persistent link: https://www.econbiz.de/10013315817
Saved in:
3
The Market
Risk
Premium for Unsecured Consumer Credit
Risk
Fleckenstein, Matthias
-
2020
We use the prices of credit card asset-backed securities to study the market
risk
premium associated with unsecured … consumer credit
risk
. The consumer credit
risk
premium has historically been comparable to high yield corporate bond spreads …
Persistent link: https://www.econbiz.de/10012482248
Saved in:
4
The market
risk
premium for unsecured consumer credit
risk
Fleckenstein, Matthias
;
Longstaff, Francis A.
- In:
The review of financial studies
35
(
2022
)
10
,
pp. 4756-4801
Persistent link: https://www.econbiz.de/10013400137
Saved in:
5
Countercyclical Currency
Risk
Premia
Lustig, Hanno N.
-
2020
excess returns compensate U.S. investors for taking on aggregate
risk
by shorting the dollar in bad times, when the price of …
risk
is high. The counter-cyclical variation in
risk
premia leads to strong return predictability: the average forward …
Persistent link: https://www.econbiz.de/10012857596
Saved in:
6
The Term Structure of Currency Carry Trade
Risk
Premia
Lustig, Hanno N.
-
2018
increases, because the local currency term premia offset the currency
risk
premia. The time series predictability of foreign … cannot match the downward term structure of currency carry trade
risk
premia. To match these findings, we find that long …
Persistent link: https://www.econbiz.de/10012938280
Saved in:
7
The discounting premium puzzle : survey evidence from professional economists
Gollier, Christian
;
Ploeg, Frederick van der
;
Zheng, Jiakun
-
2022
Persistent link: https://www.econbiz.de/10013263310
Saved in:
8
The Discounting Premium Puzzle : survey evidence from professional economists
Gollier, Christian
;
Ploeg, Frederick van der
;
Zheng, Jiakun
-
2022
Persistent link: https://www.econbiz.de/10013415618
Saved in:
9
Macroeconomic-Driven Prepayment
Risk
and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail
-
2016
represent a source of systematic
risk
. Consistent with this, we find that implied prepayments are substantially higher than … actual prepayments, providing direct evidence of significant prepayment
risk
premia in mortgage-backed security prices. We … analyze the properties of the prepayment
risk
premium and find that it is almost entirely due to compensation for turnover …
Persistent link: https://www.econbiz.de/10012456578
Saved in:
10
Macroeconomic-Driven Prepayment
Risk
and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail
-
2016
represent a source of systematic
risk
. Consistent with this, we find that implied prepayments are substantially higher than … actual prepayments, providing direct evidence of significant prepayment
risk
premia in mortgage-backed security prices. We … analyze the properties of the prepayment
risk
premium and find that it is almost entirely due to compensation for turnover …
Persistent link: https://www.econbiz.de/10012996380
Saved in:
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