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Conditional market beta for REITs: A comparison of modeling techniques
Zhou, Jian - In: Economic Modelling 30 (2013) C, pp. 196-204
the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and ….S. equity REITs. Our results overwhelmingly suggest that the state space model is the best performer. Such a conclusion is … the cost of capital for the purpose of capital budgeting involving REITs, identifying equity REIT mispricing, evaluating …
Persistent link: https://www.econbiz.de/10011048940
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The Role of Currency Risk in Industry Cost of Capital
Francis, Bill B. - 2009
In this paper we test the hypotheses that previous studies fail to find a significant role for currency risk in industry returns because of methodological shortcomings or because of hedging. Using a Fama-French three-factor model augmented with an exchange rate factor in which both the factor...
Persistent link: https://www.econbiz.de/10012721899
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An Incomplete Markets Explanation to the UIP Puzzle
Rabitsch, Katrin - Vienna University of Economics and Business, Department … - 2014
A large literature has related the failure of interest rate parity in the foreign exchange market to the existence of a time-varying risk premium. Nevertheless, most modern open economy DSGE models imply a (near) perfect interest rate parity condition. This paper presents a stylized two-country...
Persistent link: https://www.econbiz.de/10010757223
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A Habit-Based Explanation of the Exchange Rate Risk Premium
Verdelhan, Adrien - Society for Computational Economics - SCE - 2006
This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell &...
Persistent link: https://www.econbiz.de/10005706175
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A Habit-Based Explanation of the Exchange Rate Risk Premium
Verdelhan, Adrien - Society for Economic Dynamics - SED - 2006
This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell &...
Persistent link: https://www.econbiz.de/10005051245
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A Habit-Based Explanation of the Exchange Rate Risk Premium
Verdelhan, Adrien - Department of Economics, Boston University - 2005
This paper presents a fully rational general equilibrium model that produces a time- varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences derived from...
Persistent link: https://www.econbiz.de/10005443363
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Credit Risk and Disaster Risk
Gourio, François - C.E.P.R. Discussion Papers - 2011
Macroeconomic models with financial frictions typically imply that the excess return on a well-diversified portfolio of corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in the corporate bond market (the "credit spread...
Persistent link: https://www.econbiz.de/10008854475
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Turnover Premium, Foreign Institutional Ownership, and Time-Varying Risk Premium in Taiwan Equity Markets
Chen, Ying-Jen; Lee, Jen-Sin - In: Journal of Reviews on Global Economics 4 (2015), pp. 8-20
The low turnover premium found in U.S. equity markets is also found in Taiwan market, unlike the mixed evidence for other stylized effects such as size, book-to-market ratio and momentum. Consistent with investor overconfidence hypothesis proposed by Odean (1998, 1999), the percentage of foreign...
Persistent link: https://www.econbiz.de/10011185173
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Conditional Asset Pricing in Emerging Stock Markets
Drobetz, Wolfgang; Stürmer, Susanne; Zimmermann, Heinz - In: Swiss Journal of Economics and Statistics (SJES) 138 (2002) IV, pp. 507-526
Stock returns in emerging markets are to some extent predictable on the basis of selected instrument variables. We show that local information is more important than global information to capture emerging stock market returns. This is an indication for at least partial segmentation of emerging...
Persistent link: https://www.econbiz.de/10005427449
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Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR
Stillwagon, Josh - Department of Economics, Trinity College - 2014
Monthly interest rate forecasts from nearly 50 major financial institutions are used to examine the expectations hypothesis at the short end of the term structure for the Canadian T-bill market and Libor markets in the US, UK, and Switzerland. Using CVARs, the term premium is found to move...
Persistent link: https://www.econbiz.de/10011204530