In the rational expectations equilibrium of this paper, agents have private information and differing information partitions and therefore assign differing conditional distributions to asset payoffs and other economic variables relevant to their investment choices. Standard asset pricing models...

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to volatility in the ten Middle Eastern and African (ME&A) emerging stock markets. Although the majority of ME&A markets only recently gained emerging status, one finds that five...

Purpose This study aims to examine short- and long-run effects of specific macroeconomic conditions on risk premium estimates on lending. Design/methodology/approach Empirical estimates are based on error correction and autoregressive distributed lag models. Findings The results suggest that, in...

Purpose – The purpose of this paper is to consider the merits of using projects bonds to finance infrastructure investment projects and considers the pricing of such bonds and the level of risk premium demanded by the market. Design/methodology/approach – The research used a mix of...

Purpose – Media-effect refers to the phenomenon that stocks with no or low media coverage earn higher returns than stocks with high coverage. This paper aims to explore the existence of media-effect in China stock market and tests the two competing hypotheses explaining this phenomenon....

Purpose – Community supported agriculture (CSA) programs allow consumers to buy a share of a farm’s production while providing working capital and risk management benefits for farmers. Several different types of CSA arrangements have emerged in the market with terms varying in the degree to...

Purpose – The purpose of this paper is to examine if the enactment of Sarbanes-Oxley (SOX) resulted in lower risk premium and return volatility in the US stock markets. The paper examines the two components of excess return (total risk premium) separately: the amount of volatility (risk) and...

Purpose – The purpose of this paper is to examine how policy instability is priced in interest rates. Policy instability refers to the likelihood that the current policy will be changed in the future in the absence of political power shifts. Design/methodology/approach – Chinese...

Purpose The purpose of this paper is to investigate the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Design/methodology/approach Using a broad sample of stock options traded on the American Stock...

Purpose The purpose of this paper is to present the development of cumulative rainfall deficit (CRD) indices for corn in Shandong Province, China, based on high-resolution weather (county, 1980-2011) and yield data (township, 1989-2010) for five counties in Tai’an prefecture....