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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10010291529
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Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles
Görtz, Christoph - 2019
A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in recessions and declines much more gradually during the...
Persistent link: https://www.econbiz.de/10012858207
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Dynamics of Subjective Risk Premia
Nagel, Stefan; Xu, Zhengyang - 2022
We examine subjective risk premia implied by return expectations of individual investors and professionals for aggregate portfolios of stocks, bonds, currencies, and commodity futures. While in-sample predictive regressions with realized excess returns suggest that objective risk premia vary...
Persistent link: https://www.econbiz.de/10013292049
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Persistence in the Market Risk Premium : Evidence Across Countries
Caporale, Guglielmo Maria - 2020
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market … risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour …
Persistent link: https://www.econbiz.de/10012836946
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Factor Strengths, Pricing Errors, and Estimation of Risk Premia
Pesaran, M. Hashem; Smith, Ron - 2021
This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...
Persistent link: https://www.econbiz.de/10013239328
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To React or Not? Fiscal Policy, Volatility and Welfare in the EU-3
Malley, Jim - 2008
policy is purely to stabilize output or debt volatility, then our results suggest substantial reductions can be obtained …, especially with respect to output. In stark contrast, however, a formal general equilibrium welfare assessment of the volatility …
Persistent link: https://www.econbiz.de/10012773638
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10012892294
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Debt Shifting and Transfer Pricing in a Volatile World
Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021
In this article we introduce a stochastic model with a multinational company (MNC) that exploits tax avoidance practices. We focus on both transfer pricing (TP) and debt shifting (DS) activities and show how their optimal level is chosen by the shareholders. In addition, we perform an extensive...
Persistent link: https://www.econbiz.de/10013251265
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Risk premia in general equilibrium
Posch, Olaf - 2010
This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...
Persistent link: https://www.econbiz.de/10010270538