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Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
Grobys, Klaus - 2016
Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality...
Persistent link: https://www.econbiz.de/10013003083
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U.K. Stock Market Inefficiencies and the Risk Premium
Demos, Antonis - 2016
The stock market predictability has been a favorite topic of scholars and practitioners alike. It seems that some small predictability is present in all major stock markets worldwide. This predictability can be attributed to the risk premium structure and/or to inefficiencies present in the...
Persistent link: https://www.econbiz.de/10013004430
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...
Persistent link: https://www.econbiz.de/10009734341
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Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully accounts for aggregate investment's predictive power for...
Persistent link: https://www.econbiz.de/10012960222
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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully accounts for aggregate investment's predictive power for...
Persistent link: https://www.econbiz.de/10012968442
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Implied Equity Premium and Market Beta
Chow, Victor; Gu, Jiahao; Wang, Zhan - 2021
We extend the ex-ante mean-variance (SVIX) models of Martin (2017) and Martin-Wagner (2019) to a mean-variance-asymmetry (AVIX) framework for incorporating higher-moment and co-moment risk in asset pricing. AVIX is a risk-neutral measure of the left-tail asymmetries in return that corrects the...
Persistent link: https://www.econbiz.de/10013242103
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The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics
Lemke, Wolfgang; Werner, Thomas - 2021
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10013316384