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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

Persistent link: https://www.econbiz.de/10012872607

A balanced portfolio can have a higher geometric return than the risky asset

Arden, Miriam; Woutersen, Tiemen - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-5

In the U.S., the geometric return on stocks has been higher than the geometric return on bonds over long periods. We study whether balanced portfolios have a larger geometric return (and expected log return) than stock portfolios when the risk premium is low. We use a theoretical model and...

Persistent link: https://www.econbiz.de/10012628177

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

Persistent link: https://www.econbiz.de/10012628441

Spreads and volatility in house returns

Chinloy, Peter; Jiang, Cheng; John, Kose - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-16

Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and rents. Idiosyncratic risks result from bid-ask spreads for prices and rents. Time series autocovariances generate a distribution of prices and rents. Capital gains and rent-price...

Persistent link: https://www.econbiz.de/10013382201

Determining force behind value premium : the case of financial leverage and operating leverage

Ul Haq, Hafiz Muhammad Zia; Muhammad Sohail Shafiq; … - In: Journal of risk and financial management : JRFM 13 (2020) 9/196, pp. 1-15

The determining force behind the value premium is the matter of debate among the researchers. Some are of the opinion that the financial distress risk determines value premium whereas other theorize that value premium is basically the compensation for operating leverage (investment activity...

Persistent link: https://www.econbiz.de/10012384696

Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

Persistent link: https://www.econbiz.de/10012022028

Bond risk premia and restrictions on risk prices

Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22

Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...

Persistent link: https://www.econbiz.de/10011961381

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

A quantitative analysis of risk premia in the corporate bond market

Cecchetti, Sara - In: Journal of risk and financial management : JRFM 13 (2020) 1/3, pp. 1-33

Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed...

Persistent link: https://www.econbiz.de/10012173339

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for … power switches temporarily to positive around economic shocks. This suggests that higher yields, inflation and money growth …

Persistent link: https://www.econbiz.de/10012813273