Narrow search
Showing 1 - 10 of 2,214
Cover Image
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
Cover Image
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
Cover Image
Risk premia in multi-national enterprises
Lutz, Stefan - International Centre for Economic Research (ICER) - 2012
The CAPM implies that investors require equity risk premia when choosing risky investments and therefore demand higher …
Persistent link: https://www.econbiz.de/10010941794
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
El mercado de acciones en Colombia: 1930-1998
Velez-Pareja, Ignacio - MASTER CONSULTORES - 2009
This article explores the behavior of the stock market in Colombia with the information given by the Bolsa de Bogotá Index (Indice de la Bolsa de Bogotá, IBB). The index is analyzed from January, 1930 to December, 1998. The inflation rate covers the same period; the inflation rate as measured...
Persistent link: https://www.econbiz.de/10010762969