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Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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Is power production flexibility a substitute for storability? : evidence from electricity futures prices
Kilic, Mehtap; Huisman, Ronald - 2010
Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in … in line with the theory of storage. We find the opposite; futures prices from markets with flexible power supply behave … according to the expectations theory. The implicit view from futures prices is that flexibility is not a substitute for …
Persistent link: https://www.econbiz.de/10011381018
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Is power production flexibility a substitute for storability? : evidence from electricity futures prices
Huisman, Ronald; Kilic, Mehtap - 2010
Persistent link: https://www.econbiz.de/10003989866
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Forecasting day-ahead electricity prices : utilizing hourly prices
Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013
Persistent link: https://www.econbiz.de/10009765836
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Bühlmann's credibility premium in the Bühlmann-Straub model
Dannenburg, Dennis Ramon - 1995
Persistent link: https://www.econbiz.de/10000913231
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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011372514
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Inflation, endogenous market segmentation and the term structure of interest rates
Vries, Casper G. de; Wang, Xuedong - 2015
The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...
Persistent link: https://www.econbiz.de/10010532587
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Accounting noise and the pricing of cocos
Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018
Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...
Persistent link: https://www.econbiz.de/10011818282
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Default risk premia on government bonds in a quantitative macroeconomic model
Jüßen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009
This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the...
Persistent link: https://www.econbiz.de/10011379436