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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
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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
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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
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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
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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
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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
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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
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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
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Risk premia in multi-national enterprises
Lutz, Stefan - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 293-305
The CAPM implies that investors require equity risk premia when choosing risky investments and therefore demand higher …
Persistent link: https://www.econbiz.de/10010679164
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On the determinants of equity international risk premium : Are emerging zones different ?
Guesmi, Khaled; Abid, Ilyes; Arouri, Mohamed Hedi; … - Institut de Préparation à l'Administration et à la … - 2014
premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that …
Persistent link: https://www.econbiz.de/10010778658