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The risk premium of gold
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
bond markets, and investigate the role of gold as a hedge and safe haven asset from an ex-ante point of view. The results … show that gold is not expected to serve as hedge and safe haven for the bond and stock markets, but it is so realized ex …-post. Further, we find that gold is neither expected to be an inflation hedge nor is it realized. …
Persistent link: https://www.econbiz.de/10011751138
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Risk-Return Trade-Off on Currency Portfolios
Byrne, Joseph - 2018
Unconditional asset pricing models have generally found it challenging to identify evidence ofrisk aversion. This paper addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider time-varying relations because investors'...
Persistent link: https://www.econbiz.de/10012912982
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - 2019
find evidence that several observable factors drive the difference of CDS and bonds, but both data sources still contain …
Persistent link: https://www.econbiz.de/10011958223
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Time-Varying Risk and Risk Premiums in Frontier Markets
Todorov, Galin - 2012
US stocks. These correlations display no time trend, suggesting that diversification benefits have not diminished with …
Persistent link: https://www.econbiz.de/10013113763
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Multi-currency (Risky) Sovereign Bonds Arbitrage
Yordanov, Vilimir - 2018
Sovereigns are active issuers both of foreign and domestic debt. The former, composed mainly of internationally traded hard currency denominated Eurobonds, serves as a direct benchmark for the creditworthiness of the country. The latter, represented by local treasuries, although considered a...
Persistent link: https://www.econbiz.de/10012938247
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Carry Trades and Commodity Risk Factors
Byrne, Joseph - 2019
This paper investigates the importance of commodity prices for the returns of currency carry trade portfolios. We adopt a recently developed empirical factor model to capture commodity commonalities and heterogeneity. Agricultural material and metal price risk factors are found to have...
Persistent link: https://www.econbiz.de/10012870354
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Risk and Risk Premia : A Cross Asset Class Analysis
Ebner, Markus - 2016
The existence of risk premia has been widely documented in the academic literature over the past decades. However, until now they have typically been handled as separate phenomena for specific markets or asset classes and thus examined independently. This study analyses risk premia across a...
Persistent link: https://www.econbiz.de/10013002075
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Time-Varying Risk and Risk Premiums in Frontier Markets
Todorov, Galin - 2012
US stocks. These correlations display no time trend, suggesting that diversification benefits have not diminished with …
Persistent link: https://www.econbiz.de/10013110156
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Labor Income Risk and Stock Returns : The Role of Horizon Effects
Eiling, Esther - 2019
This paper shows that the impact of labor income risk on the cross-section of expected stock returns depends crucially on the horizon. Using a flexible empirical approach that allows us to include multiple horizons simultaneously, we find robust evidence that the two- to four-year horizon...
Persistent link: https://www.econbiz.de/10012888966
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Confident Risk Premiums and Investments using Machine Learning Uncertainties
Allena, Rohit - 2021
-low strategies that take long-short positions exclusively on stocks with precise risk premium forecasts deliver superior out … return predictions also outperform existing strategies. Risk premium variances reflect time-varying market uncertainty and …
Persistent link: https://www.econbiz.de/10013312308