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Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23

definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …

Persistent link: https://www.econbiz.de/10011877322

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

CAPM verification using overnight and daytime returns

Kang, Dae Jin; Kim, Soo-hyun - In: Journal of derivatives and quantitative studies 28 (2020) 4, pp. 209-227

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual … study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation … between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with …

Persistent link: https://www.econbiz.de/10012592728

Shall We Tax the Risk Premium?

Schindler, Dirk; Hilgers, Bodo - 2002

Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of the risky asset should be fully taxed if the households...

Persistent link: https://www.econbiz.de/10010323931

CDOs and the Financial Crisis: Credit Ratings and Fair Premia

Wojtowicz, Marcin - 2011

This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...

Persistent link: https://www.econbiz.de/10010326077

Model misspecification, the equilibrium natural interest rate and the equity premium

Tristani, Oreste - 2007

This paper analyses the determinants of the natural rate of interest in a non-linear model where agents are uncertain over both future technology growth and the future course of monetary policy. I show that the real natural rate can be affected by sizable uncertainty premia, including premia...

Persistent link: https://www.econbiz.de/10011604854

Zukunftsorientierte Bestimmung von Kapitalkosten für die Unternehmensbewertung

Gebhardt, Günther; Daske, Holger - 2004

Risikoprämien zu bestimmen, für die erwartete Renditen des Marktportfeuilles und Beta-Faktoren als Maßgrößen für das systematische …

Persistent link: https://www.econbiz.de/10010263304

Ambiguity and equity premium in production economies

Jahan-Parvar, Mohammad R.; Liu, Hening - 2011

We propose a novel one-sector stochastic growth model, where producitivity growth follows a Markov-switching process with two regimes, and where households have generalized recursive smooth ambiguity preferences. The adopted class of preferences permits a three-way separation of risk aversion,...

Persistent link: https://www.econbiz.de/10010409446

International capital flows and bond risk premia

Sierra, Jesus - 2010

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

Persistent link: https://www.econbiz.de/10010279929

Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?

Lettau, Martin - 2001

This paper uses Hansen and Jagannathan's (1991) volatility bounds to evaluate models with idiosyncratic consumption risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and the distribution of the idiosyncratic shock is...

Persistent link: https://www.econbiz.de/10010283344

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