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Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities

Csávás, Csaba - Magyar Nemzeti Bank (MNB) - 2008

In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...

Persistent link: https://www.econbiz.de/10005146790

The equilibrium risk premium on the forward market for foreign currency

Broll, Udo; Eckwert, Bernhard - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1996

This paper constructs an intertemporal model of the spot and forward markets for foreign exchange and shows that in equilibrium the forward market is unbiased, i.e., the forward rate is equal to the expected spot rate which will prevail in the market next period. This holds true as long as the...

Persistent link: https://www.econbiz.de/10010958316

Time Varying Volatility and the Cross-Section of Equity Returns

Brooks, Chris; Li, Xiafei; Miffre, Joelle - Henley Business School, University of Reading - 2009

A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. This paper demonstrates that the cross-sectional...

Persistent link: https://www.econbiz.de/10008542375

Quantitative Monetary Easing and Risk in Financial Asset Markets

Kimura, Takeshi; Small, David - In: Topics in Macroeconomics 6 (2006) 1, pp. 1274-1274

-grade corporate bonds. These results are consistent with a CAPM framework in which business-cycle risk importantly affects risk …

Persistent link: https://www.econbiz.de/10005086977

Conditions for turning the ex ante risk premium into an ex post redemption for EU government debt

Colignatus, Thomas - Volkswirtschaftliche Fakultät, … - 2011

Basel III classifies government debt as risk free while actual interest rates in the European Union (EU) show large differences not only because of liquidity but mainly because of the risk of default, as also reflected in credit default swaps. Curiously such debt defaults may not happen so that...

Persistent link: https://www.econbiz.de/10009372590

A Test of the Validity of Capital Asset Pricing Model in Istanbul Stock Exchange

BILGIN, Rumeysa; BASTI, Eyup - In: EuroEconomica (2011) 30, pp. 98-108

CAPM is one of the subjects that constitute fundamentals of modern finance theory. Although the research that test … validity of CAPM give conflicting results, CAPM is widely used especially in portfolio investments and capital budgeting. In … this study, we test validity of the CAPM in Istanbul Stock Exchange (ISE) by utilizing Fama and McBeth’s (1973 …

Persistent link: https://www.econbiz.de/10009385699

Introduction to Risk Parity and Budgeting

Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...

Persistent link: https://www.econbiz.de/10011259736

Assessing the non-financial investment profitability with variable discount rate

Gwozdz, Katarzyna - Instytut Badañ Gospodarczych (IBG) - 2015

In the work, the subject of the discount rate assessment is presented. It is crucial as regards assessing the non-financial investment profitability. The discount rate is usually considered as constant one in the whole investment period, which seems to be the main problem. The constant discount...

Persistent link: https://www.econbiz.de/10011271506

Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?

Posta, Vit - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 5, pp. 450-470

Time-varying risk premiums and CAPM betas for several assets traded on the Prague Stock Exchange are estimated within a … used to estimate the two restrictions. The estimation of the CAPM restriction seems to be favorable to the theoretical …

Persistent link: https://www.econbiz.de/10010600839

Simultaneous determination of market value and risk premium in the valuation of firms

Lutz, Stefan - International Centre for Economic Research (ICER) - 2011

Valuing a firm using the discounted cash flow method (DCF) requires the joint determination of the market value of its equity (MVE) together with the equity risk premium (ERP) the firm should earn, since the latter is part of the discount rate used in the calculation of the MVE. This paper...

Persistent link: https://www.econbiz.de/10009319260